I'm talking about VPNs, not firewalls. This article (and people in general) are claiming that Apple applications bypass VPNs, and falsely implying that system-wide VPNs are no longer possible in Big Sur. NEAppProxyProvider was never meant for system-wide VPNs. NEPacketTunnelProvider, the system-wide VPN mechanism (when used in destination IP mode), continues to route system-wide VPN traffic, including that of Apple applications.
I'm not denying that NEFilterDataProvider is an inferior solution for per-app firewalls like Little Snitch, compared to their previous kernel extension.