You don’t need it. Even in an untrusted network, the application firewall provides very little security, because all it does is block your applications from receiving inbound connections. Not all programs have this functionality to begin with, much fewer run or accept such connections by default, certainly not many system applications. Most of the latter are listed in System Preferences → Sharing (and should be turned off if you are not using them, especially when you are in an untrusted network). Nowadays, more and more such networking applications are sandboxed. That is the case for some system services and App Store applications.
The application firewall is mostly there for you to control the behaviour of your own applications. It only makes sense to use it if you are actually intending to block certain programs from receiving inbound connections, otherwise it won’t really do anything.