Importing the windows firewall policies to SEP Firewall or the other way round is unfortunately not possible. Beside manually creating the firewall rules on SEPM you can consider as well an option of running windows firewall and SEP partial NTP components - IPS in this case - have a look at some reference:
About Windows Firewall and Symantec Endpoint Protection's NTP
http://www.symantec.com/docs/TECH97986
One circumstance in which customers may wish to implement such a solution is if Windows Firewall is being used for firewall protection and the IPS (Intrusion Prevention System) components of SEP are desired.