Will there be a local independent firewall in the future?

We currently have no plans to provide our own endpoint firewall. We will continue to explore options for managing/configuring the OS-provided firewalls, which are more than capable.

To add some additional information:

Our older legacy products did include the ability to enter configurations which would then be applied to the local Windows Firewall settings, however, this is no longer the case. 

The current "Windows Firewall" policy you will find in Sophos Central will apply to the settings at the following location on your Windows device. 
- "Control Panel\System and Security\Windows Defender Firewall"