Internet Radio advice please

I sometimes use Screamer Radio to listen to internet radio stations.
Please see my screenshot. When launched via desktop icon
to a http://… stream, things seem right TCP/UDP out
and parent explorer.exe. When launched from my menu bar
in Opera things also seem right viz. TCP/UDP out
parent Opera.exe. - likewise connecting to a http://… stream.

However, in both cases when connecting to some stations
where the stream is shown as mms://… alert says screamer.exe
is trying to act as server and I have to allow in order to listen.
This results in the two TCP/UDP in entries shown in the screenshot.
Remote is shown as my computer with port xxxxUDP.

Is this normal ? Thanks.

This is the source of one of the stations:

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