What about a firewall on your router (if you are using one)? Would also be an issue with that blocking it, instead of a Windows firewall.
Hardware WAN firewall doesn't affect lan-side equipment, and the devices are all connected between each other with switches anyhow.
Regarding the win32 crashesI noticed that I was getting the connect-crash bug like some others. I haven't tried the special EXE yet which luke linked, I'll try that later. I didn't have all the failures the other guys did, mine only had one issue loading pdcurses (I believe that was the name).
Things were running fine, I told another blade to connect, and it pooped BFG. I restarted BFG in the same process window and then both connected fine. I exited/restarted BFG and then had them both connect simultaneously, and then tried it again with them connecting one at a time--without issue.
Whatever it is, it seems to be constrained to the process window. Close the window and then try doing it, and it'll happen again but only once per blade.
Other than that, it's running very well. I'm going to do some more cgminer/bfgminer tests to see how I like it. Fast response from luke is always a huge plus.