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The lsass exploit is as it implies trying to take advantage of an exploit that was long ago patched by MS (the same is true for the DCOM exploit) so if your OS is up to date then your system isn’t vulnerable to the exploit. That doesn’t stop people from trying as they have absolutely no way of knowing if the system they are trying to attack is up to date.

So the attacks are speculative in the hope they find a system that isn’t up to date and vulnerable, these attacks are probably random IP address attacks, but not having your firewall running means your system isn’t stealthed, so any ping to that random IP would result in a response so may then come in for more attention. Fortunately the network shield is doing its job of protecting against common routes of entry for viruses and worms.

So playing on-line games with your firewall disabled is a risk.