You should always add a Program to the exception list. If you add a port, it would allow any application on your computer to accept connections from that port. If you add a Program, that program can accept connections from outside(firewall allows it.)
Another scenario for adding a program as an exception:
The appication uses port 80 to negotiate a listening port. After establishing the listening port, the application uses dynamic ports above 5000. This can be acomplished by adding the program as an exception.