A primary job of national governments is national defense
Regarding privacy, there is no guarantee privacy on the internet.
National governments worldwide already eavesdrop on international traffic. And foreign governments eavesdrop on the national traffic of other countries. Some countries already eavesdrop on their own citizens (UK and USA).
Privacy is also threatened by the many trojans and viruses that, even if your computer isn't compromised, there is a good likelihood on any given day that you will communicate with a compromised computer.
A primary job of national governments is national defense and the protection of its citizens lives and property.
A national firewall that does that protects its citizens against foreign hackers and cyber attacks is a good national firewall. It would be a step on the path to upgrading the internet to a higher technical level so people can start relying on it.
If a national firewall is going to be used for censorship of opinions, and to limit news, then it is a bad firewall.
If the national firewall censors pornographic images and video, well, we can all express our opinions in text form. So it really doesn't limit freedom of speech. (That said, a national firewall should, if it even does any censoring, only censor clearly illegal pornography, like kiddie porn, sex acts with animals, and pictures that courts have ruled on.)
If a national firewall only stops some foreign hackers blackmailing citizens and residents, or if it only stops some foreign based DDoS attacks, it will be worth the price.