Well, I am certainly no expert here, but I feel that a bit of "devil's advocacy" might be in order.

My main question would be "what were Microsoft's intentions for the product?"

From what I have read it would seem that this was to provide some sort of rudimentary protection for inexperienced users whilst they went on the net to trusted sites and downloaded software updates and so on. Now, I don't want to "second guess" Microsoft but given that:

1. It doesn't filter outgoing traffic.
2. In that report Microsoft said that they were "not concerned by the results"

At this point I am inclined to think of it as "a relatively primitive defence tool" rather than a "true firewall"

As --TH13 pointed out:

I see. So firewalls that don't do egress filtering are enough? What about bots? Worms? Spyware? Keyloggers? You know, the biggest problems on the net today.
So perhaps it is a misnomer to even describe it as a "firewall", let alone judge it as one?

Just a thought