My question is simply that. I am trying to install Private Internet Access and it won't install fully because, according to customer service, my firewall/AV/security/blah blah is blocking it and I need to add exceptions.

1. I have stopped all these services before installing and it didn't make a difference.
2. The only program I could add an exception for a EXE that is not already physically on my hard drive is Avira Antivirus. My other Security software is this:
Malwarebytes
Windows Firewall
Windows Defender

That is all.

Does anyone out there have any other ideas? Something I am missing? Please?

Have you added an exception to your firewall for this program to access the internet.
Look at the program itself rather than the blanket .exe as that could open a can of worms.

Also try install as Administrator, this is a different account from a member of the administrator group