I meant the firewall in OS X (System Preferences->Security I think). Routers shouldn't get in the way of local traffic.
Due to the way TCP/IP connections work, changing the ports should not be required. Clients will use a random port number when connecting to the host and not necessarily what is set in the Gameplay options. This port is only used when hosting, and is only useful when you are sharing an IP address (which is not common in a LAN).
From experience, I have about 7 computers (mixes of PCs and Macs) that can play LAN games in not just Warcraft, but others as well. A majority of games do not even let you change the ports, yet they still work fine (Starcraft(UDP)/Quake/CoD/MoHAA).