When testing the 5-th version found just such an error (bug):
If you make folders and files in “Locked files” proactive defense, they are opened via a shortcut on your desktop! Although access to them through the conduit is closed.
I ask the developers to fix …
P.S. Sorry if the translation is inaccurate, - I write translated from Russian into English
OS - Windows 7 Ultimate x86 > Comodo Firewall 5 beta 5.0.158836.1079
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Can you post a screenshot using the English interface of CIS? That makes things easier to understand. Using an online translator makes things hard to understand sometimes. The reason I ask is that I want to see if you are referring to Blocked Files or Protected Files and Folders.
I speak Serbian but could understand Russian. He is adding that Documents folder to the Blocked Files tab… Next tab to the right is Protected Files and Folders.
Windows Explorer path: My Computer\DATA D:\Documents\
I put in “Blocked files” folder “Документы”(Defense> Security Policy> Blocked files) from the root disk partition “D” in the “Defense” Comodo, in order to prevent access thereto by unauthorized persons, as it was in Comodo firewall 4. But access to it can be accessed through a shortcut folder, which I’ve placed on the desktop. It turns out that the defense locked folders (files) does not work when logging in locked folders (files) via a shortcut on the desktop
Sorry for the problems with the translation!
CIS 5 Interface in Russian …
Your Windows 7 is installed on the C partition I assume?
I tried to block access to a folder that is not on the system partition of my Win 7 x86 and access gets blocked in both situations. Windows 7 in on partition M and the blocked folder on partition O.
I speak Serbian too, so what? ;D 
:-TU
Montenegro, Herceg Novi here… 
Serbia, Belgrade here! Then you speak Montenegrian language ;D
I speak Serbian Montenegrian language does not exist, it has no literature, history, founders or alphabet… 
/OFF TOPIC ends here