I’m not really sure that it won’t cause problems, but it’s no point in having 2 firewalls running. Is there any way you can disable the firewall in AVG and use CPF instead? Else you could try it with CPF and see if it works, tho you will probably get pop-ups from both firewalls.
Tis true, amonst other over-riding conflicts with allowing Apps etc.
Having said that… I would investigate Ragwings suggestion… seems a workable solution if AVG will allow the Firewall to be disabled and not effect the remaining components in the Suite.