Ok, then it should work. What else you could do, is delete all your web farm servers from CMS interface, restart IIS and launch again. I've seen this working a couple of times. Also, please check out the troubleshooting page for web farms, there could be something useful.
A firewall typically should not be an issue, but you can also try disabling it, restart website and check if it helps. Also, might be worth checking that CMS has write permissions on App_Data folder as it should create webfarm.sync file under \App_Data\CMSModules\WebFarm folder.