Hi Sean,
Typically program exceptions are only useful in small environments as they give you no indication of the ports that are required for hardware firewalls. MS put these in just to make this easier for admins to get the server applications up and communicating quickly.
So, this is fine for testing, but as you move into a more security conscious environment having the server firewall configured by ports is better. Once you've got these pinned down, it's a sinch to get these into any hardware firewalls that you may have in place.
It is for this reason you'll be hard pushed to find enterprise firewall instructions that say simply "allow application xxx.exe to communicate through your firewall"
Kind Regards,
Ian./