Am I right in my interpretation that for Server deployments the windows firewall is used?
The SEP firewall is supported so you have the ability to use it. If you don't than you can use the Windows firewall.
Just depends on what components you want to install. But the SEP firewall is an option.
See best practices here:
Best Practices for Installing Symantec Endpoint Protection (SEP) on Windows Servers
Ok I've created a package and installed 2008 R2 but it's not installed the SEP firewall
and the package included the smart firewall component?
You are right, its applicable only to Desktop and laptops
Yes there are not any options on the package builder to select individual components.