I also found this problem effects Private firewall, as long as web shield is
active, leaktest from grc.com 'penetrates' Private firewall, when I turn off
webshield, leaktest is properly blocked from making the connection to grc.com
web site via port 80. It may be only port 80 is affected, I have not checked this though.
Not sure if it effects other firewalls, but I do know Private firewall as good as it is,
in my opinion and not bloatware as some firewalls can be, is affected by web shield also.
Just wanted to mention this according to my own findings, and also i was aware web shield
effected windows firewall previously to trying Private firewall. In your case, possibly Lukors
work around may assist you.
All my best!