Installing a Firewall on the same system runing HTTP, Mail, DNS, ..

Hi, Just to clarify what I think about Security. Is there some security feature, if we ran a firewall on the same server, which is running other services like HTTP, .. Personally, I'd suggest to get a firewall running on a specific server, and all other services on other systems. Regardless SPOF, of course. Thanks for any advice. Pascal Miquet