You are incorrect. Firewalls do slow down the game because they're analyzing the packets being sent and received for, "possible threats." This slows down the process of sending and receiving packets which causes lag. Whether it's seen or not, it's still there in the form of, "Hey I shot you, but you didn't die" or, "You were bouncing all over the place! How did you hit me?" For some people who have faster CPUs, it may not affect them, since their processing power exceeds the demands of both the game and the firewall/AV/AS software. But for others, having both the game and the firewall running is a combination you don't want to have happening.
