I kept getting this message every time I start iTunes no matter how I answered the prompt. This message begin appearing following some regular software update. Here are the steps to fix – YMMV:

1. Go to Library / Preferences
2. Find this file: com.apple.alf.plist
3. Trash the file.
4. Reboot your Mac.
5. Start iTunes – you shouldn’t be prompted anymore.
6. Go to System Preference / Security and re-enable your firewall.
7. Start iTunes again.  You shouldn’t be prompted.

You’re done.