The regulation uses firewalls as its own example Annex III Class II (2), Recital 45, Art. 7(1)
Annex III Class II item 2 reads "Firewalls, intrusion detection and prevention systems". This is the exact category the CRA reaches for when it explains what "core functionality" means. Recital 45 says firewalls and intrusion detection or prevention systems are defined by their core functionality and are subject to mandatory third-party conformity assessment as a result.
The same recital draws the opposite conclusion for products that only integrate such a component: that is not the case for other products with digital elements which merely integrate firewalls or intrusion detection or prevention systems. Article 7(1) states the same rule in operative terms.