Whilst vehelpfulguy is correct when he says that you shouldn't run more than one firewall, that only refers to software firewalls. Most of us who connect via routers have a second firewall in the router itself, and it's perfectly fine (and good practice) to have that enabled, as well.
Also, there is a difference between knowing that a firewall is running, and knowing that's it's working well. Hence, it's better to test your firewall, rather than just assuming that because it sometime pops up messages, you have full protection.