Initial results of testing the ability of firewalls to block requests from browsers and to a lesser extent, other applications, when Avast Web Shield is enabled, is as follows:
Windows 7 Firewall - Fail
CIS firewall - Fail
Outpost 7.5 - Pass
Online Armor Premium - Pass
PCTools IS - Pass
In brief:
1. Clean Image (not virtual)
2. Install firewall - reboot
3. Install Avast 7 - reboot
4. Test Web shield is working
5. Connect to any site with a browser
6. Block the browser in the firewall
7. Attempt to connect to any site with a browser
8. Disable Web Shield
9. Attempt to connect to any site with a browser
CIS and Windows 7 firewall fail at step 7, that is, it's possible to connect to any non-https site, when there is a rule blocking the browser from making any outbound connections. The connection is allowed vis the AvastSvc executable.
On the face of it, it looks like a bug in the firewall, so I'll create a full bug report. If anyone has anything to add, please post.