Built In Firewall in Airport Express?

Hi, I read somewhere that I don't need to turn on the firewall in the System Preference of my G5 if I connect to the internet via AX, is that true?

Yes and no. The AirPort has a basic NAT firewall built-in. This will prevent all non-solicited incoming traffic but will not control outbound traffic from your local network. Your OS X Firewall, on the other hand, can control both inbound and outbound traffic. The combination of both makes for a more secure network.

I went through the Airport Utility and I couldn't find any mention of a firewall or an option to turn a firewall on and off.

You control the AirPort Express's firewall by enabling or disabling NAT.

Depending on the version of AirPort Utility you are using, you would either disable "Distribute IP addresses" on the Network tab (Airport Admin Utility) or set "Connection Sharing = Off (Bridge Mode)" on the Internet Connection tab (AirPort Utility).