You should receive that message. Install Mode is only for use when you are installing something. Then you are suppose to put it back to the previous mode. What Comodo is telling is normal and Comodo way of trying to make you aware that you are in install mode and not full protection mode.
This is normal behavior of any firewall. I used Zone Alarm, Comodo, Online Armor and Outpost. They all have pop ups when you are installing something. Right now I am trying out a new version of Online Armor.