Since a password is required to be a superuser (to install and modify programs), what are the risks to not use a firewall under Ubuntu ? More particularly if I am using a NAT router ?
It depends. Most people use a router between their desktop and the internet and by default there are no sigificant open ports, so in the vast majority of user cases a firewall adds very litte, if anything.
It can help if you inadvertantly install a server, such as VNC or SSH.
A better question is what do you want to use a firewall for ?
See:
https://wiki.ubuntu.com/SecurityTeam/FAQ#UFW
https://wiki.ubuntu.com/SecurityTeam/Policies#No_Open_Ports
https://help.ubuntu.com/community/UFW
If you want a graphical tool for your firewall, use gufw
