It's a tradeoff for performance and features versus a fully fault-tolerant hardware/software setup that is immune to sudden power failures. The full disk subsystem used in the pfSense appliances allows for better logging and installation and use of third-party packages that need a read-write disk subsystem.
The professional way to deploy these and other pro-level firewall appliances is to power them with a UPS. Can be a relatively small and inexpensive one. Just make sure it offers a USB communications ability to send status info to a monitoring daemon. On pfSense, you then install either the apcupsd or nut package to monitor the UPS and gracefully shutdown the firewall when the UPS signals that power is lost and the battery is almost exhausted.
The ZFS filesystem option is more fault-tolerant, and if you want to perform a complete reinstall, you can enable that option. I think there is a move afoot to make ZFS the default setup in coming future version updates. ZFS is not immune to issues caused by sudden power loss, but it is more resilient to the same as compared to UFS.