Theoritically you're right, VPS should be way better than Shared as it's like this: Shared -> VPS -> Dedicated, having vps in middle and dedicated as best. However that also depends on how much load the server (node) that hosts the shared account or the VPS is having. If a shared account is on a server with better hardware and less load than the VPS' one, then it may end up being faster.
Additionally, since you mentioned firewall's availability, you should know that there are cases that VPS dont have software firewall available on it either, so I'd advice you to contact your VPS provider and ask them first before ordering. And don't forget that further than server's software/internal firewall, it mostly matters provider's DoS/DDoS filtering as heavy attacks have to be handled before they reach your server filling your switch port's pipe (i.e 100 Mbit/s port). Because once that's done, no matter what you do inside the server.. it's useless.