In general, you do not need to make any changes to your firewall settings.

In case you see a message that says you cannot access https://dftly.com, then you need to ask your Salesforce Administrator to enable access to https://dftly.com URL from your company's Firewall settings. No data is stored on https://dftly.com. We just use this server to check if your org is Authorized to access dftly.com.