Windows Security can alert you if the firewall is blocking an app, but there are other signs to look for if it doesn't. You can check if the firewall is blocking an app on the Allowed Apps screen ...

1Blocker does a nice job walking users through setting up Firewall, which requires a local VPN profile to run on your device. That allows the app to run a network extension that monitors the traffic ...

You will see the changed status as follows. Block all incoming connections, including those in the list of allowed apps Notify me when Windows Firewall blocks a new app. Select your preferences ...