From what I understand, Maya's licensing setup is TCP/IP-based (someone correct me if I'm wrong). When you do a batch render, Maya is essentially setting itself up as a render server and will check for a valid license. It checks the license via TCP/IP which ZoneAlarm (or any firewall/security program) interprets as network access. ZoneAlarm will also sense network activity if you are using a floating license, which is normally hosted on a server -- even if that "server" is your local machine.

So, basically, there's nothing wrong. The firewall is doing what it is supposed to be doing, as is Maya. You can either click "yes" each time or simply turn of the firewall whenever you do batch renders.