Not the case. Simply turn off the firewall for the purposes of downloading the one item. You are not vulnerable to all things if this is the one thing your computer is doing. If you should get some sort of massive error while doing this chances are it was something already in your machine. What I am trying to say is it isn't like removing the skin as you are not totally exposed if you only turn it off for a moment long enough to get what you need. More so if you are unable to turn your security settings back on, or automatically can do so be restarting your PC then you might need to look into better software.
The purpose of turning off security is that if it happens to corrupt or remove too much data in any scans, sweeps, or what not then the program will be missing data and will fail. Since several security software programs are jumpy at the slightest thing a program that has security measures, accesses BITS, and can download + install software is a major target. I can say for certain that Impulse is not a threat. To also be clear AntiVirus is more often the cause for this than firewalls. It never hurts to try one and then also the other if the first time did not work.
Impulse can be installed offline as well.
Please let me know if you have any questions or concerns here or through support@stardock.com.