Did you happen to grab a screenshot of the prompt or the VPN wont connect ?
I use Avast Free Antivirus and I haven't installed the Firewall component, the Win10 firewall has been fine for me for over 4 years of using this system.
That said, I'm not sure of the settings available in the firewall component in Avast Free, but if it is the same as the Firewall in Avast Premium, etc. Have you set it to Private or Public network, as public has in the past (if memory serves me well) prevented VPN connections.