As you understand the service and configurator of USB to Ethernet Connector have to communicate via the network to establish the connection. And thus, you need to configure your firewall to allow UsbService.exe and UsbConfig.exe to open the following ports:
NOTE: USB to Ethernet Connector also creates the ports which names are generated automatically for each USB port in order to establish the connection. Those port names are generated basing on hash (the hub name + port number). So, you better set the firewall to give UsbService.exe and UsbConfig.exe access to all the ports.