I think people are just as aware of the OS_Reset as they are of the possibility of nasty apps turning off the firewall. RISC OS is really insecure, seriously insecure by design - now is not the time to start listing limitations. We could be here all night.
However the Select firewall goes some way to stop people hijacking your machine. And some server software can't be configured to reject outside connections, or whatever point maus was trying to make.