The built-in Firewall may be properly blocking incoming connections, or the block may be further upstream on your connection. Only an "Admin" user has permission to change most System Preferences on OS X. I assumed you were the Admin user on your machine, because installing LW requires an Admin password.

Home routers allow outgoing connections, but need most ports opened for incoming. School and work connections also usually block "unused" ports by default too. Internet Service Providers may also block/filter certain ports, especially if the ISP is filtering or blocking filesharing.

So, while LW runs best with a clear two-way connection to the internet, it's not "wrong." LW's code does quite a good job of working within many limitations, as you saw with the magnetmix test.