Hi deedee, welcome to the forums.
By default CFP is blocking all incoming communications from boot (although there may be no visible indication of this). With outgoing also blocked, nothing gets in or out. AVG is a known & trusted application by Comodo (certified), and thus it would be silently allowed. You can turn off Comodo's silent treatment for trusted/certified applications, under Security -> Advanced -> Miscellaneous & clearing the "Do not show alerts for applications certified by Comodo" option.