Just as a follow up:
Your suggestion is optimal, it would be a hassle to roll it out on all the stands we have around the globe, so unfortunately I have to drop it as well.
The workaround I have found is executing the following command from LabVIEW: "cmd /x /c netsh firewall add allowedprogram "%s" myAPP ENABLE", where %s is the full path to the exe file. This only works if the user have admin rights. (works for me ...I know... but these rules were not set by me).
As a result the user will see the firewall dialog the first time the exe executed, but the exe will start working immediately because the firewall exception is created.
Thanks for your efforts helping me out.