Drakfirewall didn't ask me for my password, so I checked the kde menu to see if it was supposed to be run as a different user.
Apparently, that's not the way it works. Control Centre is not set to run as root either in the kde menu.
Menotu's explanation explains my mistake. I had always thought that the yellow shield meant that you didn't need to re-enter your root password only in order to get into the Control Center again.
Thanks for your corrections and sorry for wasting your time. I'll be more thorough next time.