Would you rather have your firewall hosted or in house if you've got the skills to manage it?
What are to pros and cons of having a firewall hosted by your ISP in general?
Big advantage is bandwidth saving. If there is a firewall on the other end, and you get attacked in some high-bandwidth capacity, the traffic won't fill your line with the trash. However, this means that the ISPs firewall config that they allow you to do (or will do with a phone call) is sufficient to block that sort of thing quickly.
I would make certain there is a simple textual representation of what they are doing on your behalf, so you can then move to another company without as much effort. It's also handy for debugging.