Comodo blocking some VPN access

I’ve noticed that I get blocked messages like -

Windows Operating System Blocked IN (& OUT) UDP to IPs of my VPN (probably their DNS based on the connected gateway)

Since I have a number of different gateways I can connect to, and the IPs will change, how can I address this?

Should I just allow UDP connections for Windows Operating System? (Win7 x64)

Thanks!