I agree with you.
I think, generally, an outbound firewall with alerts for most users is a good thing. It's very unfortunate that this is not an integral capability of Windows Firewall.
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If you use COMODO Internet Security and set the firewall to block all outbound connections for Untrusted\Unknown processes (which means that they should be auto-sandboxed), then that is exactly what TinyWall does (without any sandboxing). The firewall behavior is identical for both products... with that firewall setting, COMODO does not generate any alerts and TinyWall does the same - always.
The advantage to COMODO is that you can set the firewall to generate alerts.
As for sandboxing, rollback or user profile isolation with the ability to delete the maliciously modified user profile and "regenerate" the complete clean, base-line user profile are more comprehensive and effective protection mechanisms.
But I do admit, this gets into "splitting hairs" territory...