I would like to point out that SELinux is not a firewall. SELinux is a system that acts like super-permissions; it watches what goes on within the OS and blocks potentially malicious activities. It's really more like a proactive anti-virus system, but that's not the best description.
Anyway, the reason a lot of people disable it is because it's kind of a bitch to get working correctly. In many circumstances, it will block perfectly legitimate actions, requiring the admin to fix permissions, rebuild rule sets, blah blah blah...
In my experience, it's a calculated risk. You really should leave it enabled, but it's not the end-all and be-all of security. If your server is public-facing, I would highly recommend just bearing down and getting it to work.
P.S. If you're looking for information on how to configure the real Linux firewall, look into iptables.