I started to receive this message on the program screen with Comodo Firewall v5.5. I uninstalled and installed v5.9 and still received the message. I thought I had it licked when I put exclusions into Nod v5 for cfp.exe and cmdagent.exe, and put exclusions into Comodo for Nod executables, and stopped and started both programs. The message went away.
I had to reboot today and the message came up again. In Firewall Behavior Settings, General Tab, I unchecked each item having to do with detecting networks,and in Alert Settings tab unchecked the gateway item. After stopping and restarting Comodo the message is gone - for now.