* I have a firewall on my Mac, should I have some specific settings for it?

Yes, in the firewall settings, you should allow for incoming connections for the app. To make this change, go to System Preferences:

Then select Security & Privacy, click on Firewall and click on the lock to make changes and select Firewall Options:

Do not select “Block all incoming connections”, because if you do this, the receiving device wouldn't be able to reach your Mac to start for media streaming. “Allow incoming connections” should be selected.