Perhaps you misread: I never said “don’t use Windows’ own Firewall”; built-in is perfectly acceptable, but is also set to blacklist-only which means only the applications you block from accessing the Internet will be kept in check.
While that was plenty before data collection and mining turned into an acceptable business, nowadays you are facing scenarios with ordinary looking applications doing whatever it pleases them with your computer, and then sending the data who knows where.
Microsoft is under a lot of scrutiny - while most firms just fly under the radar most of the time until somebody notices and is successful in bringing the problem to attention. Think e.g. the Red Shell affair, or the Epic Store Client.
Problem is, the default firewall management UI is somewhat cumbersome and limited, so it’s highly recommended to use without a third-party firewall manager.
You are still welcome to try Advanced Settings (it runs in one of those age-old Microsoft Management Console) from Control Panel > Windows Firewall.
Note that operating a firewall in whitelist mode requires some work as well as basic understanding of how stuff works, but most of the effort is front-loaded.
One last thing, unless an application is blocked entirely, it can be somewhat hard to control what it’s doing within the boundaries it’s been given - something to keep in mind in order to avoid a false sense of security.