I use Advanced System Care and I checked my firewall setting and all of the 7dtd versions including the mod launcher mods I have tried to play are allowed. I have GNAMod working. If I minimize the screen as soon as it starts loading a window was popping up from system care asking whether to allow it or not. I couldn't see it with the game loading screen.Never be shy reaching out for help. It's never a bother.
It looks like the copy of the game failed, even before applying the mod. Are you running and anti virus programs?
I am not seeing that same window for War of the walkers though so it seems to be my computer settings somewhere. I'm not much of a software user unfortunately.