Crusader...
Take a look in the GUI. You'll see the Proxy Settings. Yes, they are activated and transparent to the user.
The firewall is a little different. The GUI controls the ports that it needs opened to interact with either your local area network or the Internet.... so in several places you'll see dropdowns that allow access for either the local net or the Internet. There is also a port forwarding facility that lets you chose which ports to forward to the inside network.
Now... if you are in server-only mode these setting aren't very useful to you.
If you need more control learn IPTABLES and get into the command line.