Welcome to the Roon community, @Michail_Malamos.
Do you need the extra layer of security on the Linux box, i.e., is a software firewall necessary? For instance, is the machine running any services accessible inside or outside your private network, e.g., SSH, Samba etc.? If so, consider general hardening of the server and services instead.
If you want to run the firewall, advanced configuration is necessary, and this isn’t possible using UFW alone. You’ll need to edit UFW scripts and set up iptables.
Of course, Windows or teenagers on the same network may need a different approach.
Note that neither Nucleus nor ROCK has a firewall.
This thread may help.