I had a
great Windows firewall like this about 20 years ago. It would pop up a dialog for
every network request from an app. You could block or allow based on port or destination, or "block all". It was amazing, because as you say, it made it
very obvious when an app was trying shady shit.
I would love to have that back, but I was never able to find a firewall so hostile to the user experience of the general population.