Have you updated your package feed indexes?
The -i is important if you're not using the latest revisions of any packages, as this flag prevents updates from the feed sources.
./scripts/feeds update -i
Have you installed the package feed?
./scripts/feeds install <package>
Maybe you are not looking for it in the right submenu. See the Makefile of the package to find out.
cat feeds/<feedname>/<package>/Makefile
You are looking for this:
define Package/<package>/Default SUBMENU:=Firewall SECTION:=net CATEGORY:=Network
Menuconfig appears to cache package lists and (especially) profiles. Try deleting the <buildroot_dir>/tmp directory and then running make menuconfig again.
cd ~/openwrt/ rm -rf tmp make menuconfig