Well, I hope I didn't "react" too quickly. But I *deleted* my XP x86 SP2 VM (I technically have no use for it and don't have the time to slim it to my liking).
So this is in my normal self-slimmed XP x86 SP3 VM. And when I searched for your version of Sphinx, I found a different version and ran with it.
Good news - it did exactly what you cited, FDM could NOT download when Sphinx was installed !!!
For me, it was the "default" SYSTEM and SVCHOST rules that Sphinx set.
DELETE the SYSTEM and SVCHOST rules and FDM now works!
I didn't screencap "before", and I'm going from memory that the rules were called "system" and "svchost".
But at any rate, DELETE THOSE RULES and FDM works.
Granted, I may have only needed to delete ONE and not BOTH.
And Sphinx (in my opinion) SUCKS compared to the Comodo Firewall (older version) that I used to use.