May are Windows firewall interference to Avast Network shield?
No, Windows Firewall works fine with Network Shield. 
No problem between them, however, the windows firewall doesn’t provide protection against unauthorised outbound connections.
Any malware that manages to get past your defences will have free reign to connect to the internet to either download more of the same, pass your personal data (user names, passwords, keylogger retrieved data, etc.) or open a backdoor to your computer, so outbound protection is essential.
Zone Alarm free http://www.zonelabs.com works fine with avast and has a reasonably friendly user interface. There are others, Comodo, Jetico, Sunbelt Kerio, etc.
See some firewall tests for comparison, some are freeware but many are paid for versions http://www.firewallleaktester.com/tests.php.
You say outbound protection is essential.Well why did microsoft not implement proper built in outbound protection if it is so essential…?
A firewalls job is to keep unwanted connections out and windows firewall does this very well.
See http://www.techsupportalert.com/best-free-firewall.htm#Quick_Selection_Guide
To install Comodo Firewall see http://www.knightwithapc.com/2011/11/download-comodo-firewall/
No idea why you are breathing life into a topic that is almost seven years old.
That said the statement is no less true now than it was then, you only have to browse the viruses and worms forum to see it in action. Once malware id on your system it can get out. Any out bound connection will have any requested data, etc. automatically let back in by the firewall as the request originated from your system and not an unauthorised inbound connection.
No point asking me why MS did or didn’t do something, I’m not MS.
Then you have to ask why (long after this topic was created) MS Vista, Win 7 and win8 have outbound protection built in to their firewalls, but it is disabled by default. Even when enabled it isn’t very user friendly and is rules based and the user has to create the rules.
I have asked because even though the thread is 7 years old the subject is still very much relevant.The idea of a firewall is to keep bad stuff out and if anything on your system is making non-legit connections then there is a infection present.There must be a reason why microsoft have designed their firewall like this.
Also in windows firewall you can block all outbound connections and create rules manually but also IPSEC can be used too so that connections are secure and authenticated.The windows firewall also has the strongest service hardening of any firewall .
An outbound addon can be employed to control the connections but if a malware does get by then it does not always mean it can automatically connect out as it would not match certain built in firewall rules.
Yes setting up windows firewall is a lot more tedious than most 3rd party firewalls but it is the most configurable by far.