I'm a bit confused. The first Add from the Firewall options, takes you to the list of exceptions. If this is the first time, there are no numbers there. Then press the BB button and select Phone Number (or other option). Enter the number and save. It should now appear in the list.
While I don't use this myself, the way I read it is that you blocked ALL checked messages *except* for the ones in the list. So adding a number/contact to the list allows messages to be received.
When the number was in the list, it was successfully blocked?
The info on Blackberry's website agrees with saudadeli's interpretation. Enabling the firewall for text messages would block ALL text messages. Adding a number to the exception list would allow texts from those numbers to be received. So, if you want to received a text from that number, you need to add it to the exception list, or disable the firewall to receive all texts.
I agree it would be easier. However, the convention is that a Firewall blocks all traffic, just like your home firewall. You then set up exceptions for the connections you want to allow.
It's like locking your door with everyone outside. Then you can decide who gets in. If it were the other way around, they'd already be inside and kicking them out is harder.