The solution was to disable wireless (WLAN) in AFwall+ and activate LAN.
This does not make sense for me, but it works...
It still works if I activate wireless as well, but it is not necessary.
Even if I disable wireless access within AFwall+ I still need to be connected to a WLAN within Android (what makes at least some sense).
Reset network setting. Call to Vodafone ask for carrier setting install it. Or Find APN for Vodafone. When you activate Vodafone sim, they send you internet setting.
You need active data plan.
You can add using this option.
Settings / Wireless Connections / More / Mobile Networks / Access Point Names.