It is perfectly fine to connect sdwan appliance directly as it has built in security mechnism like control plane rate policing implict acls etc
the appliance will only be responding to communications from authenticated controllers , vedges or legitimate user traffic or to the services traffic u manuualy alow like dhcp dns etc
also sdwan with 18.4 can now have a firewall ips dns security and url filterting device (with some hardware exceptions)
still if you need a firewall it can sit behind a nat device as well