Yes, this is how SP work, one session connection at a time. SP works ok, it's just you can only use it one at a time. Having the printer shared on a LAN connection is a preferred method if you seem to have more than one or two PCs that needs print access more often.
Seems that you need to poke a hole or configure your security SW to allow connections. I recommend only running Anti-Virus programs and disable or remove any Firewall applications as these are really not needed since the router has a built in firewall already.