When I log into my Mac, I get a few different prompts for applications to Allow access through Firewall - from the ones I trust, is it possible to set permanent exceptions for these to stop them popping up every time I log in?
Under Security & Privacy, Firewall Options; insure the box is checked for "Automatically allow signed software to receive incoming connections." Click OK.
From an Admin account, open Terminal.app and paste the following command:
sudo codesign --force --sign - /Applications/Plex\ Media\ Server.app/
Enter your admin password if prompted; let it do it's thing (it should say it's generating a signature)
Log back into the account that runs PMS and launch the app*
It might ask you to "allow incoming connections" the first time opening PMS after running the terminal command; but it should go away each time after that... until the next time PMS is updated (it seems to need this after each upgrade, that I've seen anyway).
Not sure how this applies to other applications, but it worked for plex - more info here.