If you look at the first post on this thread, under "Firewalls" you'll see I had identical results to you, but I think the testing on the symantec site is badly flawed - in other words, I think it generates results to encourage you to use their software. Oatman will disagree with me here though... 😎 wont you, J?
Personally, I use ZoneAlarm, AntiVir, AdAware, Spybot S&D and WinPatrol.
The Firewall is bulletproof, trust me. AntiVir is the best free AV software around imo, and AdAware & Spybot kick any spyware into touch. WinPatrol is there as a handy "is this supposed to be doing this?" kind-of reminder.
EDIT : Oh, by the way : I also run the standard Windows XP firewall behind ZoneAlarm : it doesnt cause any conflicts, and its also totally bulletproof for inbound connections, but useless for managing outbound traffic - hence ZoneAlarm.