ImgBurn, by default, checks for the presence of programs that may interfere with the burn/verification process, and maybe this check is what's triggering your firewall safety. Rest assured, ImgBurn isn't trying to control your programs
After ImgBurn is open, go to Tools/Settings, untick the 'Interfering Programs' option under the Display Warnings section and click OK. Close ImgBurn then open it again and see if you get those messages.