Need f/w with multiple user support

I tested a few firewalls last night, Jetico, Securepoint, Kerio, and Comodo. My favorite was Comodo, as it has everything Sygate has that I like. Only thing is it doesn't support multiple users, fast user switching, or Limited User accounts very well if at all.

My XP Pro machine has two Limited User accounts. Trying to fast user switch to either one gets a message saying Comodo won't work, and network traffic is blocked.

Is there a good firewall that works with multiple accounts on one machine?

 

Also, one of these (POS) firewalls installed a software called "System". Then this "System" software was not uninstalled during the uninstall of the firewall.

Why would a legitimate firewall software install something suspect like "System" then not uninstall it?