The reason for the alert is cause you clicked “install\updater” and then you got an alert about putting Comodo into install mode which you did. You must have recently install something. Install mode is a temporary mode only. it is only for installing something cause under this mode everything will be allowed. If you had Comodo in install mode for days you better do a virus scan check and malware scan check. The warning pop up is there for a reason to tell you to switch back cause your security is compromised. This is take from the help file.
Paranoid Mode: This is the highest security level setting and means that Defense+ will monitor and control all executable files apart from those that you have deemed safe. The firewall will not attempt to learn the behavior of any applications - even those applications on the Comodo safe list. and will only use your configuration settings to filter critical system activity. Similarly, the firewall will not automatically create ‘Allow’ rules for any executables - although you still have the option to treat an application as ‘Trusted’ at the Defense+ alert. Choosing this option will generate the most amount of Defense+ alerts and is recommended for advanced users that require complete awareness of activity on their system.
Safe Mode: While monitoring critical system activity, the firewall will automatically learn the activity of executables and applications certified as ‘Safe’ by Comodo. It will also automatically create ‘Allow’ rules these activities. For non-certified, unknown, applications, you will receive an alert whenever that application attempts to run. Should you choose, you can add that new application to the safe list by choosing ‘Treat this application as a Trusted Application’ at the alert. This will instruct the firewall not to generate an alert the next time it runs. If your machine is not new or known to be free of malware and other threats as in ‘Clean PC Mode’ then Safe Mode’ is recommended setting for most users - combining the highest levels of security with an easy-to-manage number of Defense+ alerts.
Clean PC Mode: From the time you set the slider to ‘Clean PC Mode’, Defense+ will learn the activities of the applications currently installed on the computer while all new executables introduced to the system are monitored and controlled. This patent-pending mode of operation is the recommended option on a new computer or one that the user knows to be clean of malware and other threats. From this point onwards Defense+ will alert the user whenever a new, unrecognized application is being installed. In this mode, the files in ‘My Pending Files’ are excluded from being considered as clean and are monitored and controlled.
‘Installation Mode: Installer applications and updaters may need to execute other processes in order to run effectively. These are called ‘Child Processes’. In ‘Paranoid’, Safe’ and ‘Clean PC modes’, Defense+ would raise an alert every time these child processes attempted to execute because they have no access rights. Whilst in one of these 3 modes, Comodo Firewall Pro will make it easy to install new applications that you trust by offering you the opportunity to temporarily engage ‘Installation Mode’ - which will temporarily bestow these child processes with the same access rights as the parent process - so allowing the installation to proceed without the usual alerts.
If you are installing a new, unknown application. Defense+ will alert you with a pop-up notification and, as you want to allow this application to continue installing, you should select ‘Treat this application as an Installer or Updater’ at the Defense+ alert. You will subsequently see the following: