If your PC becomes affected by a very new malware, it's possible that it could compromise your system and data. MSE's heuristics are essentially 'cloud-based'; when MSE suspects a new file, it uploads the 'signature' of that file, and/or the file itself, to it's online database for checking. It may therefore, take some minutes for any action to be taken and the malware may well be active during this time.
I'm not aware that MSE contains any software firewall, it's an antivirus/antispyware program.