I've done my research and found some really ancient questions, including this one, Always Asked to Configure Firewall for iTunes, where the firewall on OS X asks to allow incoming internet connections every time I launch an app that is internet connected.
This has only happened since I upgraded to yosemite. This is also doing the same for apps like steam that need to use accessibility features for in game overlays.
I've tried several fixes, including re-installing apps, to no avail.
It seems that since the yosemite upgrade, it just doesn't seem to store preference information, like it's stuck in a certain state and nothing will override it.
Any help out there please as it's becoming quite an annoyance!