I'm not a macOS user anymore, but when I was, Little Snitch did more than just block/allow all connections a program makes. You get a popup/window for each connection attempt, and can whitelist the process, domain, specific address, port and more.
Is this really how Windows Firewall works? Because I've used Windows for more than two decades, and I only remember a boolean "allow/disallow" based on the program itself, when it tries to make a connection, then you see nothing else unless you manually go and dig into the configuration/rules. Have I been missing out on something?