ScenePainter tries to run in "single instance mode". That is, no matter how often you start it, you will only ever get one application window. Single instance mode is, for example useful, when browsing the scene library.
Your webbrowser can be instructed to open SCC files with ScenePainter. Without single instance mode, you'd get one application window per download. In SIM, all your downloads are opened in the same window.

However, for this to work, there needs to be some kind of interprocess communication between different instances of ScenePainter. That is, one ScenePainter process must be able to figure out if there already is another ScenePainter process and, if so, tell it to load the desired scene instead. With Java, the only meaningful way of doing this is to use network sockets, which may, unfortunately, trigger your firewall. To get rid of the warning, you have to configure your firewall to allow ScenePainter to open a socket on localhost and to connect to that socket.