I don't even know where it came from -- I've never seen or heard of this message.
InDesign is phoning home, probably to check for updates of that spam promotion section in the startup screen.
Could also be any plugin activation mechanism, etc.
Go to System Preferences / Security & Privacy / Firewall
If there is an entry for InDesign, change it to something reasonable.
InDesign is one of many apps that I allow to "accept network connections" to update the app, but it's the only app I keep seeing this message from—every time I launch it! A pain.
I rely on the external firewall of my DSL router most of the time so I'm no expert with the recent OSX firewall UI. There should be a way to remove the InDesign application specific rule in order to rebuild it the next time, did you try that?
If firewall settings failed: Are you a thrill seeker who could live without the startup window? Try to disable the PMWelcomeScreen plugin (in folder Plug-Ins / PMPack) and see whether that helps - at least until you open Kuler or some other Internet dependent feature.