Not respecting the system firewall does seem like a flaw, but Apple has had a history of bypassing attempts at filtering network traffic. Firewalls have been blocked from working and Apple services have been made unblockable in later APIs. I'm not surprised in the slightest that Apple also bypasses your VPN to call home.
I don't know if this is a problem, though. If you buy Apple, you let Apple make the decisions for you, that's how the entire ecosystem is designed. You must trust Apple unconditionally and accept traffic sent home to adhere to their privacy settings, or you should not run macOS at all. Try to run Windows or Linux on it if you've bought your computer for the hardware quality, though the M1 makes that nearly impossible without sacrificing user experience.