Allowed incoming on iTunes but still get “Allow?” box

In my firewall settings I am allowing Incoming Connections for iTunes, I click ok, I even restarted Mac, BUT next time I open iTunes I get the Deny or Allow Incoming Connections box?!?! The box even tells me to go to my firewall settings to allow Incoming if I wish, so why after I allowed Incoming, I am still getting the Deny or Allow box? Does the OS always block Incoming on iTunes for security?? If yes, why would this be a security issue? I am thinking allowing Incoming on iTunes is for Home Sharing, Apple TV etc.
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Royce