I know this is a few months old but I hope I can help. I stumbled upon your post while searching for a solution to the exact same issue myself. I too am trying to create an AppStack for SolidWorks 2014 and got the same error regarding firewall rules. My workaround was to completely disable the Windows firewall. When I say completely I mean not just turning it off in the UI but also disabling the Windows firewall service in the services management console. The install of SolidWorks will then complete but for me it went very slowly. I then installed SolidWorks on another VM without the AppStack provisioning process running and once it completed I copied the rules it creates in the Windows firewall. I did this by opening regedit and going to "HKEY_LOCAL_MACHINE\SYSTEM\CurrentControlSet\Services\SharedAccess\Parameters\FirewallPolicy\FirewallRules" and exporting this key to a .reg file. I then opened this file in a text editor and removed all the excess entries, leaving only those that the SolidWorks install created. It should be 10 entries in all, 6 for SolidWorks and 4 for Bonjour. It should only be inbound rules. I then took this .reg file to my VM where I am provisioning the SolidWorks AppStack, re-enabled the Windows firewall service and turned the firewall back on in the UI, and imported the .reg file to add those firewall rules. Then I finalized the AppStack by clicking "OK" in the little App Volumes window where it says you should only click once you're finished installing the programs you want to put in that AppStack. It should work. It did for me.
I didn't think it made sense to have to jump through all these hoops so I posed the question to VMware tech support anyway to try and get a proper fix. The reply I got was:
App Volumes can not handle firewall modifications. The Filter driver altitude will not pick them up.
So it seems that my workaround is the best we can do for now until VMware decides to address it.