Are you running as a leaf or ultrapeer? You will see which in the Connection Tab > Connection Status.
Are you seeing a brick wall in front of the Globe, or is the "firewall" being reported some other way?
When You show Incoming Searches, do you get a message to the effect you are behind a firewall and will receive few or no results?
When You go to Direct connect on the search page, do you see your IP and host displayed or a message that you are firewalled.
The Outgoing status that you see is normal, well it is for me but I run permanently under a Router Firewall.
Do you see Turbocharged connection bottom left of Frostwire?
Please excuse excuse the random questions
The main thing is that everything is working for you so don't worry. Whether or not you are actually firewalled in some way, or Frostwire is making an incorrect report is hard to say. All I can say is that it is not normal, but may be possible. Frostwire does indicate you are behind a firewall when Frostwire first starts and before it fully connects in all circumstances.