Since the browser extension can only have control over incoming/outgoing traffic in the browser, it cannot support a Firewall in the traditional sense.

Our Smokewall feature is a browser-only alternative that will essentially refuse all incoming/outgoing browser traffic if you are disconnected from your chosen Windscribe proxy location for any reason. In addition, the Failover setting allows you to choose what your backup location will be in case a disconnection does in-fact occur, providing you with additional flexibility.

If the Smokewall feature is turned off, in the event of a disconnection from the Windscribe proxy, the extension will switch off and the browser will switch back to the IP on your system. If you have a desktop VPN active as well when that happens, it will be your VPN IP, but if you don't have a desktop VPN, then your ISP provided IP will be used until your reconnect to a location in the extension. 

The Smokewall and Failover options can be found by opening the extension and going to Preferences > Connection: