Creating it asynchronously changes that on the first call to
nm_firewall_manager_get() the instance is not yet running.

Note that NMPolicy already connects to the "STARTED" signal and
reapplies the zones when firewalld appears. So, this delayed
change of the running state is handled mostly fine already.

One part is still missing, it's to queue add_or_change/remove calls
while the firewall manager is initializing. That follows next.