Got some feedback from the support team. At present, Comodo can’t block on the OLE level, but v 3.0 will be able to:
CFP 3.0 has this feature. Not in 2.4Comodo firewall version 3 is still in beta version. Once it is found stable, it will be published for general users.Our developers are working on it.
Please keep an eye on the forums for the release of the latest version.
Then that behaviour is by design but the remember checkbox should be grayed.
This mean that V2 can only block the child app connection once the OLE hijack took place.
V3 has an highly configurable OLE protection. It is possible to add any OLE object to the protected watch list.
But the current V3 (3.0.9 beta) default configuration is a bit streamlined and you have to finetune it yourself
as Firefox OLE objects are not in the protected list but InternetExplorer.Application.* is.
V3 sounds promising. How stable is the beta? How far off is an RC or a final version?
There are very few BSOD and few compatibility issues, most notably with AV or antispywares. The logging system has few glitches but is going to be Very powerful (it’s a DB so it is possible to make Queries and analyze the data using 3rd party tools) The help system is not in place so many users are not able to set it properly. V3 is still intended only for testers and is not meant to be installed on production machines.
As I’m not concerned with those glitches I made a clean install to test it and it is working nicely 
The next beta should be probably released in few days.