Getting an anti-virus software isn’t a must if you’re surfing sensibly on the web. I didn’t have one for years and had zero infections. The only reason I have one now is I got a license from my friend for free. And only alerts so far have been false positives
So you do have an AV software. What brand?
And what do you mean by closing it? Do you actually kill its processes? Doing a scan and closing the window won’t actually close a proper AV.
If Windows firewall is disabled, it must mean that the AV has its own firewall.
The free version? It has no firewall, so it’s best you keep Window’s firewall on. Otherwise you’re wide open for outside connections.
Malwarebytes isn’t an anti-virus solution. Even its developers suggest using an actual AV in tandem.
But the problem could even be your ISP blocking the connect to Lobby servers.