Prior to doing anytighing if you are basing this on a Debian 9 NetInstall you need to install the following packages as rootapt install ufw sudo -y
Then setup the user in the sudo groupsudo adduser username sudo
Technically, you do this if you don't select certain packages during the installation. It has nothing to do with it being a NetInstall ISO or not.
Technically, these packages are selected by default. I believe both sudo and ufw are part of standard system utilities.
Additionally ufw is not the firewall. That is iptables, but ufw is the simple way to activate and use iptables.
Yes, netinstall has that option as below Figure 1 while though it does not install ufw and sudo on those standard utilities Figure 2 & 3 with the fresh install Figure 4