A NAT firewall is a feature several VPN providers list, and it is more modest than the name suggests. Network address translation is the mechanism that lets many devices share one public address, and a side effect of it is that unsolicited inbound connections have nowhere to go: nothing outside knows which device on the inside to reach. A NAT firewall on a VPN server applies the same effect to your tunnelled connection.
Your home router already does this
Every consumer router performs network address translation, which is why an unsolicited connection from the internet does not reach your laptop today. So a NAT firewall on a VPN is not adding a protection you lacked at home; it is preserving one you would otherwise lose, because a VPN server assigns you an address on its network and that address may be more directly reachable than the one behind your own router. On a public network with no router of your own, it does add something.
What it blocks and what it does not
It blocks inbound connections nobody on your device asked for: port scans, exposed service probes, the background noise of the internet looking for something to talk to. It does nothing about anything you initiate. A phishing page you visited, a download you ran, a tracker embedded in a site you opened are all outbound, and a NAT firewall is entirely silent on them. That is worth stating plainly, because the name invites exactly the opposite assumption.
The one thing it genuinely interferes with
Port forwarding. If you want inbound connections, whether that is seeding a torrent, hosting a game server or reaching a device at home, a NAT firewall is precisely what stops them arriving, and providers that offer port forwarding usually let you disable one in order to use the other. This is the only setting where the choice has a visible consequence for most people, and it is the reason the option exists at all.
Whether it should affect which provider you pick
Not much. Where it is offered it is included in the standard plan, and where it is absent your router is doing the same job at home. It is a checkbox that appears on comparison tables because it is easy to tabulate, not because it separates the market. What separates the market is on the price table, and it is the gap between the headline and the renewal.
Questions people ask about nat firewall
Do I need a NAT firewall if I have a router?
At home, the router is already doing this. On a public network with no router of your own, the VPN's own NAT is doing work your device would otherwise not have.
Does it block viruses?
No. It refuses unsolicited inbound connections and has no view of anything you download or visit.
Will it stop port forwarding working?
Yes, that is exactly what it does. Providers offering port forwarding normally let you turn one off to use the other.