kenwong, Firefox, if set to ask , sygate will ask you from other ports mostly. That is how it should be. You have only allowed webshield HTTP 80 traffic, though there might be some other ports, but most other by firefox
As to realplayer, in my experienced you will get asked or if it was a new application, the First time, if set to ask. Then if you play another video or sound broadcast, while FF is still running, maybe not so.
Even if it is in another web page video.
So If realplayer was an unknown trojan
you would get asked, and there is also the Sygate traffic log.
There is no big issue here.
As to web connections with a firewall, what ever you use. Once you have allowed an outbound connection, what happens next is both outgoing and incoming traffic in browsers.
But with Sygate firewall you are really not compromising your security with Sygate firewall running Webshield. Especially if not configuring IE to that manual proxy 12080 localhost setting. Be calm in that.