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The Displayfusion screensaver itself isn't accessing the internet, but it is a signed EXE file. Windows will attempt to verify the code signing certificate with an online certificate authority. If you do a "ping -a xxx.xxx.xxx.xxx" on the IP address that your firewall is reporting, you should find that it is a Microsoft, or a different CA server.
As for the taskbar clocks issue, unfortunately DisplayFusion can only really control it's own taskbars, so the standard Windows taskbar won't be modified, sorry.