Yes, this error message is coming from the Netgear web interface.
I have just made an experiment a few minutes ago by plugging another old router of mine called Netgear DGN2000. And I was able to open all the ports without the error message! When I selected (ALL) ports from the Firewall Rules they were all opened without any issues.
But unfortunately there appears to be an incompatibility issue with the DGN2000 router+Sky Broadband. Speed is very slow getting only 2 Mbps. Which was the reason why I bought the DGN2200 4 years ago where the speed is 16+ Mbps.
But I don't know what is causing this problem with the DGN2200. This error message appears even after a Factory Reset.
I'm not sure if the firmware update caused this. But I tried even with the oldest and it's causing the same problem!
I haven't been port forwarding for a long time. But yesterday while playing Shadowrun PC for the first time I noticed suddenly the NAT was STRICT. I haven't played it for a long time. Then I went to test if the ports were opened and they were closed.
So I then tried port forwarding and realised that I am unsuccessful. So I guess this is the reason why my ports are blocked and I am getting a NAT Strict for Games for Windows Live...