In VM Role, Windows Firewall programming is depend on the user. If you are developing VM Role Image, the you should configure the firewall as you see fit for your objective. For Web and Worker role, the virtual machine is locked and endpoints are configured during VM initialization, depend on role end point configuration. So when you are using VM role you can configure Windows firewall depend on the way it is needed for your application.
- VM Role Training Lab: http://msdn.microsoft.com/en-us/gg502178
- VM Role Articles: http://blogs.msdn.com/b/avkashchauhan/archive/tags/vm+role/