Your argument is a very good one. I agree with you.
If it is too abstract for your IT folks, here is a way to make it more concrete. Suppose one of your fellow employees catches a virus/worm while travelling, then brings his/her laptop back and connects it to your company network. The worm will then be free to spread within your company network, without any firewall to stop it. I have seen this happen in practice several times, and it is painful.
It is possible that your IT staff are concerned about the support cost of dealing with the firewall, and are worried it might break functionality and trigger more support calls to the IT folks. Keep in mind that if your company deploys a local firewall on all your Window PC's, it is the IT staff who will have to deal with any increased level of support. So their concerns may be legitimate.
If it were me making the decision, I think I would look at what are the downsides of running a firewall on your Window PC's. If a local firewall would disrupt access to critical systems or would interfere with your business's core mission, then I would not run a local firewall: I would look for some other way to protect the internal machines. However, if in your situation the local firewall wouldn't disrupt employees use of computing and wouldn't incur unreasonable support costs, I would enable the local firewall.
If people are unsure, you could start with a pilot: enabling the local firewall on a handful of Window PC's (maybe the ones handling the most critical information: e.g., payroll, or core intellectual property) and then track whether it causes problems. The pilot could then give your company useful information to decide whether to enable the local firewall throughout the rest of the organization.