Check for kernel logger - rsyslogd appears to be running, but klog may not be loaded which logs kernel firewall messages to rsyslog. You should modify /etc/rsyslogd to load the klog module with:
$ModLoad imklog
Then restart rsyslog
When I look at /etc/rsyslog.conf the line is indeed commented out but firewall messages are already being logged in /var/log/messages correctly.