I also don't see any notification when the firewall shuts down - I have firewall monitoring checked in status bar settings but the orange avast ball icon stays orange, and windows doesn't alert me either. I wouldn't know it has stopped if I didn't open up the user interface manually to check. I assume the reason the windows security center doesn't pop up is because I also have windows firewall enabled, but I don't want to disable it as I'd be left with no software firewall at all when avast stops.
McAfee has never been installed on my machines. Before switching to Avast Internet Security I was using AVG Free antivirus with Zonealarm free firewall.
I don't know much about these things, but it seems to me there's a bit of a trail to 5.0.507 installation. Before that all my Firewall Activity Log entries said the firewall had configured some application or other to access the network. After that all they say pretty much is that avast UI.exe has been configured to access the network.
(Of course it could be a McAfee fragment the 5.0.507 is sensitive to n previous versions weren't)
I have this issue as well - Avast wasn't remembering that it had already cleared avastUI.exe to access the network, so everytime I opened up the avast interface I would get a notification that a new rule had been set. I turned off notifications for newly created "allow" rules to stop the popups, but I can still see it's re-allowing it all the time if I check the activity logs. I only have this issue on one of my machines, while the firewall shutdown problem affects both. 5.0.507 was the first version of avast I installed.