SKARDAVNELNATE: Got a reply from support.
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Add exception in AV and Firewall
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Don't do this!
I have no idea how the GOG version of DWU works, but I've been using the original versions of DW and DWU from Matrix since they were released, on different PC's with different Win OS's, including a very new Win10 64b Home PC, and I never had any issues with AV and firewall (I'm using Norton, by the way, which isn't really liberal in letting things through).
You may or may not block the attempt to establish an outbound connection - if you don't (and GOG didn't modify the original Matrix version), you get Matrix ads and the option to update the game (and I have no idea what data about your PC are collected along the way), but I guess GOG will offer updates, if there are any, directly. The game runs fine when you block all outbound connections it tries to establish.
And I recommend to every one not to play games forcing you to disable AV, to add a program file to the AV exception list - DWU is NOT one of these games!