I experienced similar symptoms in WMC.
I went into my virus scanner / internet security suite security center. Using the "Advanced Settings" I found the menu which shows the "Firewall Rules" I searched for the program that WMC might be using to connect to the internet which turned out to be C:\windows\ehome\ehshell.exe. I expanded the list of policies for this file and found that there were three security policies: One was set to deny all traffic which contradicted the two other policies; this caused WMC to have a blocked connection. I deleted this specific "deny" policy under the C:\windows\ehome\ehshell.exe file process and then set my firewall to report all internet connection requests from unknown programs.
I went back into WMC settings, and internet connection settings, reran the test, and my firewall program popped up with a "Are you sure you want to let "C:\windows\ehome\ehshell.exe" connect to the internet? I set it to always allow, and now my internet connection problems are gone.
You might be able to set your firewall to just tell you about all internet connection requests to see what is requesting internet access, but if there is a policy in place that denies internet access like my rules had, chances are it wouldn't show up saying that a connection request was made as it was already set to deny.
Remember to set your internet connection detection settings back to the way they were in your firewall program if you don't want to be prompted with allow/deny options for all the programs you have installed that use the internet.
Hope this helps.