Kids, being what they are, will always find a way to get around firewalls, software and anything you do to their PC. If you have a hardware firewall, and they don't have access to it, that provides a little bit of control that they will find harder to work around.
Good security is a combination of strategies, not just a bunch of dumb software on a PC that is mega-easy for them to disable or work around.
If manufacturers, like D-Link subscribed to the attitude that PC software was the best and only solution, I'd suspect they would not beother with the hardware controls that they build into their products. But if you're going to build it in, then it should work.