This wasn't always an issue but starting in either TeamViewer 11 or 12 I can't work with some remote dialog screens. Alternatively you can open port 5938 (TCP) for outgoing connections as well as the following URL's: I haven't found the following URL's yet and Little Snitch is asking. By default TeamViewer uses only the outgoing port 80 (HTTP) or 443 (HTTPS) - no firewall configuration is necessary.
If you do need remote access Little Snitch, you have to enable the “Allow GUI Scripting access to Little Snitch” option in Little Snitch Configuration Preferences Security.
Unfortunately this also affects software that allows you to access your Mac remotely (like TeamViewer, RealVNC, etc).
