Alright, I'll set it up.
EDIT: I must be doing something wrong...
I checked the inbound rules - there were 2, one for each protocol, UDP and TCP. So I set an outbound rule, for any protocol - still behind a firewall.
I deleted all the rules and created a new one, inbound, any protocol and I'm still behind a firewall. The only firewall running is Window's.

EDIT2: I added manual port forwarding on the router, still shows behind firewall.
I also tried running WSHR as admin, no luck.

EDIT3: So, the issue is not Window's firewall, I turned it off just for testing purposes and it still shows me behind a firewall...

EDIT4: Tried WSHR 5.6.5 - working (same issue though, behind firewall)
WSHR 5.6.6 - still not working xD
I think the issue is the installer - the 5.6.6. installer has the shield icon from Windows while the 5.6.5 and previous don't. Even though I did run the installer as administrator. But I might be wrong about this assumption.