"Yikes" really puts me off for some reason.

I don't. Except this isn't an uncommon opinion. There are literally tomes of knowledge (available via nostarch for example) describing firewall configuration and many other aspects of server administration. My linux desk reference is the size of an encyclopedia.The PfSense book is similarly massive (though that's more of a BSD thing).

In Windows Server's defense most common fixes are available either via console (azure) or through a series of often very simple clicks. Microsoft really nailed the user-friendly GUI-driven experience to setting up a server (mostly) safely and I think that shows in their adoption.

I am not a server admin because they aren't paid enough for all the crap they have to deal with.