It's just a gimmick some use to attract unintelligent users. NAT is a basic thing that has to be used in shared IP address configurations...which is what PIA uses.
PIA could say they have a NAT firewall and no-one could prove it does not exist. This is because having a firewall and having rules for the firewall are two very separate things. As @cosmoxl said, it is generally a gimmick used to sucker people into a service they do not need.
Besides, if PIA made a firewall and made rules, there would instantly be millions of customers complaining that the firewall did its job and blocked something they tried to do. (Because some people use odd ports to connect to things and the firewall may think they are doing something they should not.)
Another good reason PIA does not advertise a firewall is that by default, it lowers your privacy if you have to operate only in the ways the firewall allows.
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Besides, if PIA made a firewall and made rules, there would instantly be millions of customers complaining that the firewall did its job and blocked something they tried to do. (Because some people use odd ports to connect to things and the firewall may think they are doing something they should not.)
Another good reason PIA does not advertise a firewall is that by default, it lowers your privacy if you have to operate only in the ways the firewall allows.