There's a lot to be said for an off-the-shelf product that integrates seamlessly into active directory, generates shiny reports for management and has an existing knowledge base based on plenty of users with near identical software versions.
Sure, you can build a similar thing with FreeBSD, OpenBSD or whatever but the chances are your particular box will be nothing like anyone else's, which makes tracking down problems if/when they occur a lot less simple. Plus, upgrades are a single firmware upgrade rather than say, upgrading samba or version of pf (or whatever) seperately and finding that some new strange compatibility issue with the rest of your setup is introduced.
If you take hourly rate * number of man-hours to configure *nix box to do application level content inspection and reporting and compare to an off the shelf hardware firewall, the hardware firewall often makes sense. Especially when you consider you already need to buy dedicated server hardware to run your custom *nix based firewall on anyhow. Unless you're re-purposing old decommissioned hardware, but personally I don't like doing that, as my firewall is a device I kind of need to be up.