Firewall prevents contact from other computers on the Internet or on your network. Learn more on the Apple Support page.
You should have system firewall enabled because other firewalls cannot support stealth mode, which is necessary if you are directly connected to the internet via hotspot or without router, for example. Stealth mode prevents your Mac to be discovered by threat actors scanning the internet for devices.
How to turn on Firewall
How to enable Stealth mode