Some firewalls have compatibility troubles if they meet each other & others don't, however, as a general principle running with firewall turned off isn't the greatest idea on earth..
It's always a good idea to check files before sharing them, which is why it's not a good idea to share the incoming folder..
However, it's also a bad idea to trust anyone else's scanning of files.. you should ALWAYS scan downloads yourself, regardless of claims that files are virus free.. There are SOME out there that would say so to deliberately infect your system, no reflection on Gus.. But people write these things with malicious intent, some share them on purpose.