Turn firewall off and the message disappears. Anyway, the "Firewall Options…" show that Max is allowed incoming connections but indeed somehow this needs to be confirmed every launch.
This solved it for me.
https://discussions.apple.com/message/28279277#message28279277
But be careful, it WILL turn off Firewall and trash your Firewall preferences (!!!), so after rebooting you have to reconfigure your Firewall preferences from scratch (but now Max opens w/o any problems).