Firewall software not working as expected on Samsung Galaxy S5 [G900H]
I finally solved this problem in the case of very strange and share my experience here; maybe useful for someone with same or similar problem:

After a few days struggling with this, Using AFWall+ enabled on my restored official stock android, I‌ tried to change Wifi settings (got to wifi->advanced->[disabled most of Samsung/Google features being there] plus using manual IP[192.168.1.129] and DNS[192.168.1.1 - 192.168.1.2]) and finally I found out the problem has gone away! So after that I tried to test which option was causing the problem (trying to remember restore my previous choices) to restate the problem but the problem did not restate and everything is well till now.