I have followed the istructions in this KB http://kb.vmware.com/selfservice/microsites/search.do?language=en_US&cmd=displayKC&externalId=2007381
When my host reboots it still does not add my cutom firewall settings.. If I use the shell and run esxcli network firewall refresh manually it adds it.
I am running ESXi 5.1, According to the KB you add esxcli network firewall refresh to the /etc/profile.local I have confirmed that my xml is being copied from my datastore.