As Salaam Mualaykum,
The ads that you come across are part of the website itself, not the extension. For example, with Hulu if you have an ad blocker on, it won't allow you to watch any content because you must allow it to play at least one advert in order for them to provide you with the service. It's the way they keep their services running, they get sponsored and all they have to do in return is run a couple of ads.
I've not got a firewall on my Mac, so I'm not sure of the effect that it has on a user installed firewall. You may have to tweak a few settings in order to perfect it, but like I said the answers should be in the FAQs Insha'Allah.
Here is the post from the FAQs in regards to an Anti-Virus, Insha'Allah this helps somewhat:
Abu Daoud I did a quick bit of research and it seems that if you get that error then it may be that the extension hasn't installed correctly. Try again and see if it works this time, Insha'Allah.
Wa Salaam Mualaykum,