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errrr. win what??? Lol.
In all my time using hardware firewalls i've only ever come across one problem - where due to slight (probably major) over-heating in the rack apparently the bridge between LAN and WAN failed/broke/?melted?.
TBH, they are more robust than your machine because you know that you can fubar the server and still you will be protected whatever state (firewall broken, bootup etc). Rule of thumb is that the less you rely on with one box the better. However, in all honesty i would use a hardware box to protect you from inbound attacks and the plesk on the desktop to control what comes out. Good for monitoring too. And i certainly would not rely on a windows application that might be rather vulnerable to do all the security.
You won't lose anything by having a failsafe connect straight to the net though and only turning it on when necessary.
So yeah - be paranoid - hardware firewall to server and then plesk.
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