I had Comodo set to block threats with CIS and now I just have the firewall but

I can’t figure out how to set found threats to quarantine, do I have to install the AV and set it to quarantine and then uninstall the AV again to do that?

No, run the uninstaller and then ‘Change’, you can add the AV there. Quarantine is ‘Unrecognized Files’ on D+ settings.