Perfectly fine?
http://technet.microsoft.com/en-us/library/cc758407.aspx
You cannot prevent a program from using the Windows Firewall API to add a port to the exceptions list. If you need to prevent this, contact the program vendor or read the program documentation to see if there is a way to disable the feature that listens for incoming traffic. This might prevent the program from using the Windows Firewall APIs.
In other words, Windows allow programs to automatically add firewall exceptions, without your knowledge or permission, with no ability to prevent it other than to contact the program developer and have them not do that (lulz) or disable exceptions entirely (not practical if you have legitimate services that accept inbound traffic). Since the entire purpose of a firewall is to prevent the flow of unauthorized traffic, allowing programs accept inbound traffic without authorization makes the Windows 7 firewall essentially worthless. In fact, it may even be worse than worthless, as it gives users a false sense of security.
If you pay attention, it works out quite fine.
Makes it easy so that you don't have to dig into firewall menus and configure permissions every time you install a new program. Most that add themselves will be programs that have auto-update features (which is quite handy, imho - saves me the work), and games and other utilities that will need internet access.
Combine it with MSE or another quality anti-virus/anti-malware application, in addition to the UAC prompts of Windows 7/Vista, and you won't see any program doing this behavior on its own, without you at least getting some prompt.
However, if users ignorantly click Yes and Allow to every pop up they receive, and something goes awry, who is to blame?
On my end, alongside routers, I have kept my system very clean. And I've been on very shady websites.
Unless you get an application that, while currently is "known to be safe", auto-updates and includes serious malware in that update, nothing can alter major settings that would otherwise impact system security, without you getting any kind of prompt.
It's on the user, as always, to have the due-diligence to at least ponder any security popups that indicate settings are being changed.
Then again, I'm sort of a power user, so I know what I'm doing with my PC and know the general procedures to keep it clean, so I can afford myself the option of using the type of protection that I do. If I can go with the least resource-intensive security applications possible, and those applications (in conjunction with what I already know/do) serve me just fine, I will do so.