I can’t comment on any Firewall other than Windows Defender Firewall, but I’m sure they’re essentially all the same. In the Allowed Apps section, there will be (some maybe be out of date, my server is pretty old):
Conan Exiles
ConanSandbox
ConanSandboxServer-Win64-Shipping
ConanSandboxServer-Win64-Test
dedicatedserverlauncher1701
All of those will have a checkbox for Private and one for Public. I’d check them both for all those listed above. Assuming you have someone else wanting to connect to your server, some of them will need to be Public, but anything that doesn’t need to be, shouldn’t be.
And as a declaimer, I am by no means an expert in networks/firewalls. I’m just letting you know how I got mine working.