Try clicking on Change Settings and on the Firewall tab, click on Configure Network. Select if your network is Home or Work or if it is Public. If that does not remove the action item, contact support.
How to reach support - http://forums.microsoft.com/WindowsOneCare/ShowPost.aspx?PostID=2421771&SiteID=2
If it fails to validate your subscription, select the option that you are using a trial or beta copy and you can proceed to email support without validation once you've signed in.
-steve