But yes there's real world use cases for per application filtering -- you want Facebook messenger to reach Facebook.com but probably not any other applications.
And FB's trackers and ad-services and other privacy-invading stuff is all on different sub-domains that PiHole or any other "generic" firewall blocks anyways, so again I'm fine without application-level firewalling
Except if someone sends you a specially crafted message that causes an exploit to be triggered which could contact some other site to download malware on your system.
* https://www.wired.com/story/facebook-messenger-bug-bounty/
Do a search for "no-click exploits":
* https://googleprojectzero.blogspot.com/2021/12/a-deep-dive-i...
You may trust the authors of the software and how the software acts as intended, but you should also considered unintended / undesired usage.
It also allows you to deny all internet access per-app. For example, should there be an exploit for a MP3 parser in Audacity (presume that Audacity has no use for internet normally -- at least that's my use case), it will probably try to download a second stage from the internet, and you want to block this. Unfortunately, OpenSnitch probably cannot detect "Audacity has spawned wget and you have allowed wget, but only as a child of bash in your terminal launched from your DE startup script, not as a child of Audacity".
This is not entirely made up (only the exploit part), there was indeed an Audacity telemetry incident: https://www.google.com/search?client=firefox-b-e&q=site%3Ane...
As another real-life example, I have discovered that Stardict scans clipboard by default and tries to translate what it finds there using an online dictionary. This includes passwords in your clipboard. https://jenda.hrach.eu/w/et#stardict (the linked page contains several other less severe examples discovered about 2014-2016; I'm not in infosec anymore, so I'm not looking for this that much)