@chiel
This is a known issue and was already discussed here.
The alias "This firewall" covers only the IPs of the respective firewall, not these ones of the other node.
So if you try to connect to the WAN IP of the backup from inside your network, the packets go out through the master, since this is the default gateway, and are accepted by the backup if access is allowed on WAN, which should not be the case anyway.
To cover also the other node, block access to "WAN net" on the LAN interface.