That's really not that important after all... if this firewall does it's job well (as it does), it really doesn't matter what Windows says. Same thing with ZoneAlarm not recognizing avast! installed on your system as an antivirus... that doesn't mean avast! is not good antivirus, and of course no one should be scared and stop using avast! just because of that.
Comodo really looks like promising firewall, and as far as I know, it passed all those tests. The ones that Comodo failed, I am sure, even some better known firewalls failed as well.
Best of all, even in it's freeware version, it's 100% complete firewall. Try to pass Tooleaky (
http://tooleaky.zensoft.com ) with ZoneAlarm free... there is no chance it will pass. I tried it while I was still using it, and it failed. Only Pro version passed that test. But with Comodo, you don't have to worry about Tooleaky...