Skype continuous alerts

I am getting continuous alerts when I run Skype despite that in network security policy it is set as trusted application for Skype. For sure I checked the detailed settings and all (Source address and port, destination address and port) attributes for both TCP and UDP are set to any – allow. Could you give me a hint what is wrong?

Try running it in Training mode (& do all you normally do) (see attached pic), then exit Skype, change back to Safe Mode, open Skype & try again.

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