Hey,
Do you have the LEM agent installed on the node you wish to collect the firewall logs from?
Once the agent is installed, go to Manage - Nodes within LEM & then click on the node in question & go to connectors. You can then search for Windows Firewall & enable that connector. The connector is set to monitor C:\Windows\pfirewall.log by default - but this can be changed if you have set a custom location.