If you see some network flows on the device that has internet blocking turned on, please note that the data is never sent out. The flow you see is the UDP packets sent from the device and dropped by Firewalla.
Firewalla network capturing service is very sensitive, any data arrived at the box will be recorded, including packets dropped at local.
It is a known issue and only happens to UDP packets. Unlike TCP, there is no connection in the UDP session, so the sender can keep sending data without knowing the data is dropped or blocked halfway.