Well, I stopped using IE ages ago, but I also cannot remove exclusions.
Furthermore, I get a crash when I try to add one, then Explorer crashes. But reloading WFX shows the successfully added exclusion, which seems to then work.
I was excluding Kerio Personal Firewall, because it usually half-fades-in, and stops like that, and is unusable. I'm guessing it might be due to the way Kerio is skinned?