can security software like firewall that are installed on the main server protect all VPS running on the system or individual firewall needed for all VPS?

Yes and no. The hardware will need to have all of the normal ports open, whereas a VPS owner may only require certain ports be open. Also, some firewalls will not work well, behave consistently, with a VPS.

Which firewall do you mean?

I can't remember for sure, but I believe it depends on the virtulization in use. Maybe someone else can elaborate.

it depends what virtualization is in use and for example in freevps/virtuozzo/openvz what kernel (firewall) modules are loaded on the hardware-node (main server)

i think every vps could run firewall

What hosts offer VPS plans with firewalls? I can't think of anyone at the moment...