Perhaps just VPN + little snitch is your best bet if you're still worried
* It's actually not clear whether this is a feature or a bug. Apple never responded to the bug report (FB12088655).
I used to use LuLu and Little Snitch but LuLu nondeterministically dropped packets and connections causing ssh to drop and navigation problems in the browser, so I had to remove LuLu.
From 3.0 to 4.0 and then to 5.0 were €25 each. This is a 56% uptick in price.
But price of upgrade went up higher comparing change to the app pricing.
I even got a nice bug bounty, because I discovered that a popular program pulled it's updates via HTTP and executed the downloaded executable directly thereafter.
When at home, I point the router to DoT non-logging servers and clients use the router for all domain resolution.
Which begs the question: is there anything similar for a Windows machine? Or for a Linux-based one?
An issue that's not unique to this developer, is that I'm having trouble determining what their update policy will be regarding the now previous version. Based on their past procedure, I'm not expecting it'll work with the next major macOS version, but it would be wonderful with clearer expectations on what types of bugs or security issues (if any) they commit themselves to fixing after the new version is out.