On mobile, firewalls are often created by creating a local virtual VPN that actually works as a firewall. As a result, you can only have one or the other enabled at a time.

If you’re on your own trusted network, a firewall is probably the better choice. If you’re on an untrusted network, using a VPN to a trusted network is a better choice, and usually you can set up a firewall somewhere along the VPN chain as well.