Am I being hacked? Why can't I change the firewall settings?
Solution 1:
This is not any kind of sign that you've been "hacked".
If you enable anything in the Sharing prefs pane, then it will automatically enable the relevant service in the Firewall settings.
Disabling the service will remove the firewall setting.
It would be potentially highly confusing if you could switch on a service, then block it in the firewall.