
The firewall in your computer has no bearing on the CDJ's connection to the cloud, it only requires that your CDJ is connected to the internet.
Check the UTILITY setting on the CDJ and verify that your router has assigned the CDJ an IP address for your LAN (typically 192.168.x.x or 10.0.x.x). It could well be that your router has some traffic shaping or device management which is blocking the CDJ network traffic, because it adds a TON of extra data to the network and may be considered garbage data, thus having it blocked.