(This thread comes up high on search engines and yet a really good solution is overlooked. It is a bit of a necro post but someone might find it useful).
Avoid using the windows firewall as you usually would because it is too easy to add new rules. This is known as the "local firewall" and is effectively useless for blocking app telemetry, DRM and other cruft because as you have seen it is too easy for a program to allow it.
Instead use the windows firewall from group policy. Run 'gpedit' as administrator and navigate to Windows Settings > Security Settings > Windows Defender Firewall with Advanced Security.
This looks the same as the normal firewall (just embedded in group policy tool) but cannot be altered via scripts. At this point go through all of the options carefully and set your preferences.
The most important part is for each profile, click on settings and disable the local firewall rules in the rule merging section. Those rules cannot be trusted so you do not want them in there.
I personally would disable the "local firewall" entirely and just use the group policy firewall. It is tricky to manage both because frankly, it is a massive mess. Annoyingly the third party ones aren't much better. Do note however, I would always advise to use a dedicated Linux or BSD based firewall appliance for anything important. These offer proper ordered rules and stateful firewalls, etc.