I have tried adding it to my application rules and treating it as an FTP Client, but I still cannot connect to it unless I disable the firewall. What am I not doing?
Serv-U is an FTP server, not an FTP client. :-[
There’s a diagram on the Serv-U KB that has typical firewall rules.
http://www.rhinosoft.com/Knowledgebase/KBArticle.asp?RefNo=1044&prod=su
Long story short - you want to allow inbound connections on your control port (usually port 21, sometimes port 990 if you are using implicit FTPS) AND require passive mode (e.g., like this) AND (sometimes - especially if you’re using FTPS) set a specific high inbound port range on both your firewall and Serv-U (e.g., like this).