Interesting--- so it installed everything successfully, except the firewall component-?
I have found a /pdf about your Thin Clients: http://h18000.www1.hp.com/products/quickspecs/13746_na/13746_na.PDF The "Windows Embedded Standard 2009" they use looks like the Vista version of XPE, according to wikipedia. That OS is not mentioned by name in SEP 12.1's system requirements.
SEP 12.1 Release Update 1 should be available within a couple of weeks. That release has new enhancements for the latest embedded OS's--- the firewall issue might be solved as easily as trying this new RU1 release when it is available. If SEP 12.1 RU1 works/has been thoroughly tested on WES 7, it should work on WES 2009.
If it does not, you are probably best opening a case with Technical Support. They will be able to look into the matter officially.
(It is interesting that the .pdf from HP says that it comes with "HP Symantec Endpoint Protection for enhanced data security" when it is the agent from SSEP 5.1 rather than the client for SEP 11 or 12)