Firewall forcing me to make full access to mysql.exe

I’m using simple bat file with commands like

mysql -h %server% --user=%user% --password=%pass% --port=%port% --default-character-set=utf8 %db% < B1.sql

and I have alert form Firewall to decide. I choosing “Allow”, opening after that “Application Rules”, changing to “Custom Ruleset” and adding new rules “Allow TCP or UDP In/Out [Home 1]”, “Allow IP In/Out [Loopback Zone]”, but after applying rules on new bat file I still have requests about access to
Is and “Loopback Zone” the same? Why Firewall don’t understand this rules until making own “Everything whatever anywhere”?