That being said, I think many comments here are out of touch. We're talking about a specialized security feature which is not easily available on other platforms is only used by a minority of users and still works for most programs.
What exactly are your threat models that this is causing a problem for you? Are you sure that you can even use a mainstream OS if you need to block all outbound connections? If I had to have complete control over my outbound connections, I would use a hardware/software solution sitting between the computer and router.
Secondly, is this really bypassing VPNs or only the new firewall API? e.g. is it bypassing WireGuard?