I don't think that this is anything to be concerned about. Panda, like many AV/Firewall packages, is set up to automatically update. Occasionally the update can go awry and something doesn't get set correctly on the dynamic reload. In your case the LAN access was blocked. A hard reboot (cycling the power) and/or clicking the manual update button generally clears this.
To answer your other question. The firewall in your router is probably more than adequate. I use both hardware & software firewalla, many people rely on the just the hardware one and there are even people on this forum who don't use either (they consider that being careful is enough). It is all down to personal choice.