I have something similar. I am using the Free ZoneAlarm firewall. On my home Windows XP system, immediately after boot, it shows At Risk but only for the middle window (Internet). This Window is shaded Red to highlight the Risk. But it also says that the computer is Safe. If I click on the FixIt button, it goes to Green and the "Risk" disappears. But it returns on the next reboot. I have no idea what it detected to think there was a risk, or what it fixed as a result of clicking the FixIt button.
Most typically, this system is not connected to the Internet. It has no modem, no Ethernet connection. When I need to connect to the Internet, I insert a USB Wifi modem. But the detection of the At Risk condition by ZA is not affected by the presence or absence of the USB Wifi modem. I have no idea why ZA thinks the Internet is At Risk.
I run the same Free ZoneAlarm firewall on my laptop. The laptop runs Windows 7. I have not see this At Risk warning on this system.