Hi,
Wi-Fi direct is a virtual adapter, created by MS, to support peer-to-peer connections over wifi. As such it is visible in the system, even though you may not be actively using it. It does not have a default route assigned, but this is also true for many VPN virtual adapters. This dialog is a result of a recent change inside firewall in avast, where we started to support different firewall profiles (public or private) for each network adapter.
Here we should probably understand that this particular virtual adapter is not a VPN, but rather this special Wi-Fi direct and do not display the popup for such cases. We will further fine tune this behaviour in the next update. For now, I guess answering "private" once is all what it takes - the popup should be displayed only once.
Cheers,
Lukas.