Some of the Cyber Essentials wording is quite ambiguous, what this is asking about is firewalls on the boundary of the scope that you define at the outset, the scope of what you want to gain Cyber Essentials accreditation.
Cyber Essentials is self-certifying and is designed to give you a benchmark to measure against to ensure that you have the bare-minimum security controls on place.
Cyber Essentials + however is certified by an independent accreditation body, so defining what the boundary of your scope is becomes quite important.
The scope should be the first thing you define. There a lots of accreditation bodies out there, typically they will have services that will assist you with this process as well as helping to clear up the ambiguous language that you will find in the various Cyber Essentials documents and guidlines.
There are a number of ways you can define the scope, one common way is by dividing your network up into areas of administrative control.
So for example if you work for a global organisation but you are only responsible for the UK part of the network, then you can include the UK part of the network in the scope of what you want to be certified with Cyber Essentials and Cyber Essentials +.
In this instance the question is asking if you have firewalls in between the in-scope UK part of the network and the rest of the global network. This typically means full enterprise level firewall appliances and/or NGFWs (but not always). So effectively the Cyber Essentials accredited part of the network is separated from the un-accredited section by a firewall.
If your organisation is UK only and you want the entire network to be in-scope then the boundaries of your network scope will be the areas that breakout on to the internet. (Depending on how you define your scope this may or may not include the DMZ.)
Cyber Essentials covers a lot of things, it also covers host based firewalls, firewall reviews and firewalls in between in-scope network segments, but this questions specifically means on the boundary of the scope that will be defined at the outset of the Cyber Essentials process.