Well, yes and no. A PFW has a huge footprint and makes a lot of changes in your system. The XP SP2 FW in contrast is cut down much more efficient and if used properly can be configured only as administrator. A HW FW is a dedicated firewall. There are not tons of other services and processes running on that thing that are not related with the FW functionality.
So, a) a PFW is subject to vulnerablities which have been actively exploited in the past by several worms. b) a PFW slows down your system immensely. c) a PFW often makes problems with various other applications running on your system due to its major modification of the system to plug itself in wherever necessary. d) a DoS attack against a PFW usually brings your system to a halt because the PFW load runs on your computer e) even worse, some DoS attacks manage to crash your PFW after which you are all of a sudden without a FW and you may not even notice because neither your PFW nor the Windows Security Center tells you immediately.
Not mentioning the "usefulness" of the extra features of a PFW.
In general, running your security software on the same computer in the same address space with your normal applications and your browser and whatever you do is a bad idea. Anything can somehow intervene on your computer and can influence each other (the PFW may influence your applications and your applications may influence the PFW). A HW FW is a HW FW and it should not be necessary to touch and reconfigure it everyday, ie. it just sits there once configured and runs and runs and runs whatever you may do on your computer.
Gerald