The LW firewall icon isn't showing whether your firewall is on or not...it's showing that LW's detected a firewall that
hasn't been configured to allow LW.
It's not any indication of whether your computer is protected or not
If you were seeing the firewall icon before, chances are that not so many people could download from you. Have you seen more uploads since the brick wall disappeared?
My firewall's always on but I don't see the firewall icon because I've configured my firewalls (software & router) to allow LW.
If you're concerned about protection while using p2p, have a look at PeerGuardian2...it's a free IP filter, to give you a bit of extra security
Phoenix Labs » PeerGuardian 2 PeerGuardian 2:Manual - Phoenix Labs Wiki