Usually, when you put a firmware password on a Mac, you can double-check in System Preferences > Startup Disk to see if the proper startup disk (or any startup disk) is selected.
Since the default behavior of the firmware password is you needing to enter the password in order to boot from anything other than the startup disk, you probably want to have a startup disk selected (otherwise, you'll get the folder with a question mark inside of it when you boot up).
In most cases, this isn't that difficult, but if you set up a single-boot Windows installation, you may not always see it available for selection if you boot to recovery mode or boot to macOS from an external drive.
Instead, you may want to just boot into Windows (hold down the option key and enter the firmware password if you need to this one time), and then launch up the Bootcamp Control Panel, and you can set the startup disk there.