Do I need a firewall for W122 or is it built-in?

Yes, max router has a built-in firewall. 

mAX’s firewall creates a barrier between the Internet and your home’s Wi-Fi network—only data associated with a known active connection can be received by your network.

It’s important to note that configuring settings like UPnP and port forwarding—features supported by mAX—potentially opens your network to vulnerabilities since by doing so you’re allowing devices to bypass the firewall and have an open connection to the Internet.