I'm thinking about playing with/learning about firewalls. It is easier for me to learn by building, so why not build a firewall? If I run it alongside my normal firewall, I'd get the normal firewall's protection right?
I applaud your desire to create your own firewall in order to understand them better. What I would suggest is creating a VM and deploy and test your firewall on that. You risk nothing this way because you are in a closed environment.
As further advice, try looking at iptables (Linux) and play with custom rulesets before you create your own programs. Use nmap, scappy, and wireshark for testing and troubleshooting.
As a direct answer, the pre-installed firewall will protect you as far as it is configured. The 'extra' firewall will be additive and because of that, might create confusion for your testing of your own firewall.
A firewall rule would not be reversed by a firewall later in line. It would be one block then another block. The second firewall would only be dealing with traffic the first firewall did not block.
While this will not be any more dangerous, you may also not have anything to test with your test firewall. You could put your test firewall in front of the real firewall, your real firewall would still block anything your testing did not catch.
I second schroeder and believe you should setup a virtual environment with data to play around with using