Yes, you do.
In computer security, there is something called defense in depth. This is like layering fortifications to ensure everything is protected.
Traditional anti-virus software has been protecting the PC, it has the ability to look inside of the content on the PC better than anything else. By being on the network, Firewalla will never see as detail.
On the other hand, anti-virus software won't run on your video camera's and even your iPhone, here you will need something else to watch out for bad behavior. This is where Firewalla shines.
Firewalla complement anti-virus, it sees everything on the network and this is the key to protect things together as one.
This is like you have a bunch of window and door sensors at home, and you install that motion sensor for one extra layer of warning. In case the door/window security sensors did not trigger. Or to watch out places that are not feasible to install sensors.