Short answer: you will need to uninstall Bullguard to be able to install SQL Server.
Somewhat longer answer to back this up: I helped someone a couple of months back who also had Bullguard. In that process, I installed Bullguard on a VM (running Win 10, not Win 11), and then tried to install SQL Server. Which failed, even if Bullguard was disabled.
Generally, my experience is that it is not enough to disable anti-walware programs which causes installation problems. The issue is often with a filter driver which still is sits there and causes problems.
Windows Defender Firewall should not present a problem. I take for granted that Microsoft test their Setup with that product active. They may also test with a few more popular products, like McAfee or Kaspersky. But I doubt that they have the resources to test with all products that are out there.