I just read my emails, and got a response. The access is to official Sokobond site for checking updates. It should be safe to allow access there. I'll quote some part of the support's response:
I've tried to run this game with few firewalls, it took some time, and it looks like F-Secure is blocking return data without providing any information for the game. This is causing the game to constantly asking firewall same data over and over, without getting an answer and it can result in crash. Usually when game is blocked, by firewall it will receive a return information that it's not allowed to reach certain server, but in case of F-Secure game didn't receive any return data at all.
If there are problems, game should be added to anti-virus/firewall software's exception/trusted list:
Simply disabling firewall or AV software could not be enough, since some of those software's are running still in background or in services list.