Well, I am connected to a university network where I do not have access to any routers. I have my server directly connected to this network, which gives me a few advantages such as internet speed, noice issolation and having it's own static IP.
To me, it is weird that no firewall is provided within unraid, because one might intrude within your own network, but hopefully not directly the unraid server.
There are also services which are both faster and easier to setup without authentication (MongoDB for example) that can just run local without accepting any request from you local network. A firewall would help me in this way, so that everything is behind a reverse proxy, and only port 80 443 and a vpn port will be allowed.