Sandra says it cannot connect to server/service
Sandra is client/server thus running as such even on a single computer (client-the GUI, server-the agent). The GUI (client) thus needs to connect to the service (Sandra herself).
But you do NOT need to make any firewall changes, it does NOT connect to the outside of your computer (unless you enabled Network Services)
\Program Files\SiSoftware\Sandra\WNt600x86 - if 32-bit Intel/AMD
\Program Files\SiSoftware\Sandra\WNt600x64 - if 64-bit Intel/AMD
\Program Files\SiSoftware\Sandra\WNt600arm - is 32-bit ARM
\Program Files\SiSoftware\Sandra\WNt600a64 - if 64-bit Arm64
Leave it running and now start Sandra. If it does not work now, open a ticket.