I'd like to install apf on my CentOS 5.6. On Webmin's panel I see a link to Linux Firewall (https://mysite.com:10000/firewall) Won't apf conflict with Linux Firewall or some settings of Virtualmin or Webmin?
Nope! That should work just fine.
Webmin/Virtualmin doesn't use a firewall by default, so that won't conflict with anything.