I know this is an old thread but I've had this setup for a while but had a reason to want to try and use the Firewall capability inside Proxmox. Upon enabling this across the various parts of Proxmox (There's a lot of places you need to do this) and adding it to an LXC container it killed the networking for the entire Proxmox. Ended up switched it off and rebooting the box to restore it.
I've got another Proxmox box without docker on which I think is about the only difference here and the Proxmox firewall seems to work fine. So just wondered if anyone else has come across Docker and the Proxmox Firewall not playing nice together?