It's official, sadly MS has decided to 'dumb-down' their firewall that will come out in SP2:

http://www.microsoft.com/technet/prodtechnol/winxppro/maintain/sp2netwk.mspx :
In earlier versions of Windows, Windows Firewall was configured on a per-interface basis. This meant that each network connection had its own firewall policy, for example, one policy for wireless, another policy for Ethernet. This made it difficult to synchronize policy between connections. Additionally, new connections would not have any of the configuration changes that had been applied to the existing connections.

With global configuration, whenever a configuration change occurs, it applies to all network connections. When new connections are created, the configuration is applied to them as well. Configuration can still be performed on a per-interface basis. Non-standard network connections will only have global configuration. Configuration changes also apply to both IPv4 and IPv6.

Currently I've got two active interfaces: My NIC (cat5) and my Wireless Ethernet Adapter. One (the ol' NIC) is used primarly at work where I plug in to a very secured network that is shielded from all sorts of evil by Big Firewalls at the Corporate Level. The other, my wireless connect, is used at home where I also have a firewall, but I'm also going 'wireless' so the potential DOES exist for somebody else to tap in to my network (I've only bothered setting up WEP.. haven't had time to bother with WPA so I'm a tiny bit paranoid).

So... at home I want to be a bit more restrictive about what ports are open than I am at work. I can think of scenarios where other people might want the same, or vice-versa. Sadly SP2 will break all that. To me that smacks of a 'dumb-down' attempt to get more people to use the thing without knowing what is going on (i.e. the 'magic' effect). I dunno... as I think about it I guess it MAY not be as big of a deal as I think it is... but it seems that having the ability to configure interfaces seperately would be much better.