The firewall icon shows when LW detects a firewall that's not configured properly. It's not detecting whether you actually have a firewall functioning I have Comodo firewall configured to allow LW - I don't see the firewall icon. So there was some problem with your ZA config, if you were seeing the firewall icon.

Do you see uploads in progress soon after you start LW (click on the Monitor tab to check)? When LW's firewalled, other people will have a hard time uploading from you. You might see some uploads, but nowhere near as many as you'd see if LW wasn't detecting a firewall. Maybe now that your LW's not firewalled, you have more people uploading from you & so you're using more upload bandwidth. Maybe that's why reducing upload bandwidth helped.