I still don't see the reason for a firewall on a Pocket PC, unless you think some services could be running on the device, while it is connected to a network. This is not the default configuration. Really up to you, but I don't feel this is a concern at this stage.
Of course if we find out that a new malware can install itself on a Pocket PC and then open a TCP port to listen for incoming connections... Then of course we will need firewalls, to know about, and block, unknown prograsm.
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