Your English is fine. I completely understand you not in the last place because of your well structured description.
What did the alerts you got from Dropbox and Windows Live Mesh say? Can you post a screenshot of the Firewall logs? They are under View Firewall Events.
I think I've got the point: my stealth setting to "Block all incoming connections and make my ports stealth for everyone" does the stealth only for untrusted networks. CIS has set my network as a trusted one on installation. I've learned that by looking at Global Rules. Since those rules still allow incoming connections from trusted network, CIS still asks me whether specific applications should allow those same connections.
The target computer for Remote Desktop, on the other hand, saw my network as public, blocking by global rule any incoming connection when I set CIS to stealth mode. And, contrary to what I thought, http://help.comodo.com/topic-72-1-284-3017-Global-Rules.html
says that for incoming connections, global rules gets applied first, making pointless the application rule that allowed RDP connections.
Thanks for your interest in helping me.