Yep the grc port test will only work when the program you're testing is open. A bit odd!
Well most wireless devices use NAT firewalls. The question is whether yours supports UPnP (Universal Plug & play.) Do you know?
But apparently the LW 4.9 series hasn't performed as well with UPnP as 4.3-4.8.1 did.

BTW have you tried a different port. Go to Tools>Options>Advanced>Firewalls & change listening port to another. You could try these: 1111, 3500, 4008, 1203, 80, 20282, 10000, 443, 40475.

Change the port, press apply, make sure you're disconnected, or else, go to File>Disconnect, wait a minute or 2, then go File>Connect. Even re-opening LW might be better.