Woops I see you have Zemana anti-logger not Zemana anti-malware
. I think the ZAM.exe MAC to MAC rule is going to be for monitoring the local network for some reason. No problem there and you should leave that one as is, but you need an IP rule for In or Out (All) set to Allow. Anyway, don't know what the ZAL process name is (ZAL.exe?), but you should be able to see it in Task Mgr. Search your rules for the ZAL process same as you did for ZAM.exe. See if you have another rule in there somewhere. Here's the rule I have for ZAM.exe:
If you find a rule, click on the green checked rule like in your pic below (Allow IP Out...) to see the actual rule that you currently have. Don't edit the ZAM.exe one or any ZAL ones you find since those already govern some element of the program on your local network somehow. Clicking on the rule is just a way for you to see how to view a rule for a process so that you can edit it if necessary in the future or whatever:
Just focus on creating a new rule for the ZAL process of the Allow IP In or Out type like the one in my pic.
@Maxwell Sien's way sounds like it will work fine too. That way you can create a rule for all executables in the program folder all at once.