I get the same thing. Looks like it's a problem in running '/usr/share/ufw/ufw-init start'
Here's a partial error output from that command:
/root# /usr/share/ufw/ufw-init start
FATAL: Could not load /lib/modules/2.6.22.18/modules.dep: No such file or directory
FATAL: Could not load /lib/modules/2.6.22.18/modules.dep: No such file or directory
FATAL: Could not load /lib/modules/2.6.22.18/modules.dep: No such file or directory
FATAL: Could not load /lib/modules/2.6.22.18/modules.dep: No such file or directory
iptables v1.4.1.1: can't initialize iptables table `filter': Table does not exist (do you need to insmod?)
Perhaps iptables or your kernel needs to be upgraded.
...
So it boils down to lack of kernel module support?
Joe