DavidR
2
That is a problem with the windows firewall not being able to determine the process going through the web shield localhost proxy (avastSvc.exe) rather than only seeing the web shield proxy.
You would have to coordinate the AdFender proxy with the web shield proxy (adding the proxy port to the redirect ports) and uncheck the Ignore local communication (this may be the main issue/problem as the proxy is effectively local traffic)). These settings are in the avastUI > Settings > Troubleshooting >Redirect Settings > WEB - add the proxy port used by AdFender to the HTTP port(s): has to have a comma separating port numbers. See image, click to expand.
Personally I would be looking at using an ad blocker that is integrated into a browser, like the AdBlock Plus firefox add-on.