Is the problem still persisting? If turning the 2nd firewall didn't fix it, then my guess is it is slow for your router's UPnP kicking into action. Perhaps due to too many incomplete files? When you first open LW, all your incomplete files will attempt to connect. This can affect the communication between LW & your router with sending a request to open a port for it.

I've experienced the firewall icon showing initially sometimes when I open LW. Also sometimes after a very long session (several days) of heavy uploading & downloading the firewall icon appears despite multiple people uploading from me.