Within LW go tools > options > advanced > firewall config. Check the number of LW's listening port & write it down.

Now open Comodo > Network Monitor. Click on Add.

Action: Allow
Protocol: TCP or UDP
Direction: In/Out
Source IP: Any
Destination IP: Any
Source Port: Any
Destination port: Choose 'single port'. Now in the box, add LW's listening port number > ok.

You'll see the new rule at the very bottom of the Network Control Rules list. Move the rule up, so that it's above any rules that are blocking (ie any rules with a red circle).

The firewall icon should go away now