Sim, é assim que funciona. A Microsoft sugere que, na verdade, faça dessa maneira :
When you add a program to the list of allowed programs in a firewall, or when you open a firewall port, you allow a particular program to send information to or from your computer through the firewall. Allowing a program to communicate through a firewall (sometimes called unblocking) is like punching a hole in the firewall.
Each time you open a port or allow a program to communicate through a firewall, your computer becomes a bit less secure. The more allowed programs or open ports your firewall has, the more opportunities there are for hackers or malicious software to use one of those openings to spread a worm, access your files, or use your computer to spread malicious software to others.
It's generally safer to add a program to the list of allowed programs than to open a port. If you open a port, it stays open until you close it, whether or not a program is using it. If you add a program to the list of allowed programs, the "hole" is open only when needed for a particular communication.