I deleted the folder in C:\Program Files\COMODO\Firewall\ where the CFP backup files are stored. It’s supposed to be protected by Defense+, but I got no warning.
LA
I found out that it’s the same for any file in the Comodo Firewall folder (except the ones in use, but that’s the Windows alert, not Defense+'s (:LGH))
XP SP2 [ at ] x86, Clean PC Mode
At least those files that are deleted are in Pending Files
Thanks, topic resolved! 
LA