This MSDN article documents how to set the Windows firewall exceptions for AppFabric Caching Service and Remote Service Management to configure the Caching Service successfully. In AppFabric Server Configuration Wizard’s Configure AppFabric Cache Node page, you check both checkboxes and the wizard will automatically configure the Windows firewall rules for you.
If you are using a third party firewall, you must manually configure the firewall for the caching features to work properly. What additional protocols or ports do you need to open besides cache/replication/arbitration/cluster TCP port? The additional protocols used by the caching features are SMB, SMB2 and ICMP. The AppFabric cache uses SMB and SMB2 to read the cluster config file on a share when the XML store provider is being used and to access the remote registry service regardless of the provider type. The AppFabric cache also uses the ICMP protocol. So you need to open a firewall for SMB, SMB2 and ICMP protocols or for port 445 and the ICMP protocol in addition to those cache TCP ports (22233, 22234, 22235 and 22236 by default.)