I had same experience i use Comodo firewall too and i noticed that even if i Disable the firewall it wouldn't allow me traffic through Java applications.
Solution go to Comodo Firewall enable Java to traffic and it works
If you need details tell me because i can't remember them specific myself.
And don't ask me why this is overall i think Comodo Firewall is a superb and very good to my needs it bugs me why it had to be allowing Java even if i turned and closed the Firewall down i guess its very deep integrating itself with Windows to assure that you are secured and yes this solution also works when firewall isn't activated...
Hope you can use this help.