Yes, when you exit the tray icon, TinyWall is still running, it only exits the user interface. But even if you terminate the service instead of the GUI, the rules still stay active. To disable TinyWall without uninstalling, you can set it to 'Disabled' mode. The 'Disabled' mode is meant to disable the firewall on your computer, so while it technically leaves Windows Firewall on, it will be in a state where it lets all connections through. The effects will be more similar to as if Windows Firewall was also disabled. For SmartScreen to work, C:\WINDOWS\System32\smartscreen.exe needs to be whitelisted. It should be found and recommended automatically to you when you run the auto-detection, but you can also add it manually of course. It should also be automatically whitelisted on a fresh installation.