No you're right, I didn't mean the firewall would have saved them, but just as a general point of advice. And yes a second VPS running opnSense or similar makes a nice cheap proxy and then you can firewall off the main server completely. Although that wouldn't have saved them either - they'd still need to forward HTTP/S to the main box.
A firewall blocking outgoing connections (except those whitelisted through the proxy) would’ve likely prevented the download of the malware (as it’s usually done by using the RCE to call a curl/wget command rather than uploading the binary through the RCE) and/or its connection to the mining server.