So there seem to be cases where indeed the traffic is not blocked by comodo under circumstances. Since version 7. And even if the same setting was ok with version 6.
So I would be worried about the firewall. I still doubt it is a leak in the firewall.
The technology behind Web Shield is there since v 4.8 of avast! and I can't imagine a local proxy that could "bypass" the firewall (HIPS) settings.