Not seeing the firewall icon/ showing as behind a firewall is a good thing

If you don't show as being behind a firewall, it doesn't mean that you don't have a firewall in place & it doesn't mean that your computer isn't protected - it just means that LW isn't detecting a firewall that's not configured properly.

I have a software firewall & also a firewall within my router but I've allowed LW through my software firewall & set up port forwarding for my router... my computer's protected but my firewalls aren't interfering with LW. So LW doesn't show me as being behind a firewall.

But it's not a good idea to run 2 software firewalls at once - chances are that they'll conflict with each other & neither one will work properly.
So my advice would be to disable one

Can we have 2 Firewall - SWI Forums
Multiple Firewalls - dslreports.com