With a website I manage, I set it up so that whenever there is an error on a webpage, I get an email sent to me with more information. In theory I thought this was an excellent idea, but in reality it floods my inbox with 1000's of emails.
The problem is that with certain open source applications, like WordPress or Joomla, there are known exploits with either the software or plugins that can be used with the software. People have written scripts the search the internet for websites that run WordPress or Joomla, and then they try these hacks.
It's all automated (99.9% of it). Most likely there is not someone directly targeting you, but instead there is a bot just crawling the web and trying to get lucky running a generic type of hack.
It's similar to Google's bot that crawls and searches the web for new web pages to index. Except in this case, the bot has bad intensions.
I'm not sure how long you've been using WordPress Firewall, but these emails may become a very regular thing. I don't want to say that the exploit is either dangerous or can be ignored, because without fully looking at your WordPress installation, the server you're on, and all the plugins that you're using, I can't say for sure.
You may want to reach out to others that use WordPress Firewall and find out if anyone is experiencing similar issues as yourself. Unfortunately I'm not familiar with the plugin, so I don't know 100% how it works.
I hope that helps a bit! Let me know if you have any further questions.