The screenshot pretty much says it all:
I don't understand. If I create rules in the MMC snap-in, they don't appear in netsh, if I create rules in netsh, they don't appear in the MMC snap-in. What am I missing here?
(Note: this is Windows 7)
Finally, I found out.
My mistake is that I was using the Local Security Policy console to modify the firewall settings. A more direct approach is to use the "Windows Firewall with Advanced Security" console (in the administration tools). There I can manage rules and they appear in netsh (and vice-versa).