Proxy settings

Vista sp1, Comodo firewall 3
I recently joined a P2P Proxy and had no problems connecting, though one of the settings they instruct to use to “block incoming port for those wish to remain anonymous” for the torrent client is demonstrated using windows firewall settings to un check the applications exceptions in the list. My question is, although I have checked the app in the comodo pop up as “Allow” is this making my proxy connection vulnerable, and are there other settings in comodo firewall I should be aware of for configuring proxy settings?