You should be able to add the application, but need to select the executable manually. For udp/1434 it is the browser sqlbrowser.exe (usually "c:\Program Files\Microsoft SQL Server\90\Shared\sqlbrowser.exe"), for tcp/1433 sqlservr.exe ("c:\Program Files\Microsoft SQL Server\MSSQL10.EXPRESS10\MSSQL\Binn\sqlservr.exe"). You can lookup both in services.msc.
With "remote port" I meant the port of the client in the firewall. You have set it to 1433 ("Here are the settings for the firewall exception rule: protocol type is tcp, local port is 1433, remote port is 1433, ").