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All other settings affect the GPO itself. If you click on the "Default Windows Firewall Settings" GPO in the PMG/Computers OU and subsequently alter its policy settings, for example, you're editing the underlying GPO everywhere this GPO is linked so it will now use the new policy settings.
The bottom line here is there are a lot of policy settings and finding the correct one is like finding a needle in a haystack. The only way you can be confident a policy setting will behave as expected is to test it for yourself. You can obtain documentation on all the policy settings outside of the Group Policy editor here.
Documenting and Troubleshooting
If this seems a tad overwhelming, rest easy. GPMC comes with two tools for testing and troubleshooting Group Policy, Group Policy Results and Group Policy Modeling.