Does my R9000 have a built in firewall?

> Does my R9000 have a built in firewall? [...]

   Define "firewall".  Any ordinary home/small-office router blocks
routine access to your LAN from the outside world, unless you take
explicit steps to allow it (for example: port forwarding).

   If you go out and buy an appliance which is sold as a "firewall",
then you'll probably get something with many more features.  (Likely,
many more than you need.)

> [...] Just want to make sure I'm protected.

   "protected" against what?  You're about as protected as anyone else
is.

I believe he's just making sure that there is a form of a firewall feature on his router. Most routers have a firewall implementation built in.