This is the final stage in Lokkit. When you select Finish, the firewall rules will be written and the firewall put into place. It is a very good idea to be at the machine, physically, just in case you want to alter them. If you have disabled remote access then you will have to be at the machine to re-run Lokkit.
Selecting Cancel will exit the program without activating your choices.
You can of course select Back to cycle back through and adjust choices you made earlier.