ESET CYBER SECURITY PRO SOFTWARE
Like I said earlier its entirely dependent on how you use your Mac and what the considerations are for you running additional security software above whats built in to OS X (Which does have limits, but are generally acceptable for most home users).
But for my Macs that are home only, I do not run any additional security suite and use the built in security features with no issue. I do travel a bit so having the firewall zones for "Home" and "public" come in handy so I can keep a tighter lock on my firewall while out in public.
ESET CYBER SECURITY PRO PRO
I myself use ESET Cyber Security Pro on my Work Macs where I am required to keep a security suite by corporate policy and it works fine minus the recent issue that had now been resolved. Either way the best advice is to be sure you have a firewall enabled, but I would avoid having both running at the same time unless you are willing to manage two sets of rules in the case of conflicts. If you are a fairly static user that always only uses your home network and needs no additional functionality beyond the basics, than the built-in firewall is certainly sufficient.
If I select the '+' and browse to an application and select it, it is not added. On top of that I am unable to manually add anything.
So far my Logitech MX Master mouse has stopped working because the Logitech Options Daemon is not listed to allow me to enable it and this afternoon I got prompted to allow Dropbox access but, again, the Dropbox app was not in the list. I have identified that ESET is the cause of the problem as it is preventing access to the security settings (folder /Library/Application Support/ is completely blocked out with nothing able to access any of the settings stored there). I am regularly getting prompted that some application or daemon requires permission to access accessibility features however when I select to open System Preferences to authorise the app or daemon the list of apps requiring permission is empty.