Recently I stumbled up a site that a claims that ZoneAlarm (et al) is "too leaky."
There is a small, downloadable utility on the site that is said to be able to penetrate "every firewall on the market."
If you're interested, have a look:
Trivial Firewall Leak Checker
By the way, the source code for the utility is also supplied.
bis dahn!
:karate: