The firewall under XP SP2 is better than it was originally, however, AFAIK it only analyses and blocks inbound packets.
For some strange reason, the XP firewall doesn't analyse and block outbound packets - so you could be infected with a trojan, keylogger etc. and XP wouldn't even notice - not good.
In my (ever so 'umble) opinion, I think you're probably better off staying with ZA, if only because it looks at inbound and outbound packets/ports.
Rgds
AndyF