It is not a perfect solution. I want a bit more advanced features (security zones, for example - only available in the payed version) Also notice that System/Core application protection is also only available in the payed version. I don't know if this is related to the fact that executables in system folders trying to connect to the Internet didn't generate a pop-up when I first tried it out.
Edit: The FAQ clarified my problem:
The Free version can not protect "system" applications, formally located in C:\windows\*. So, the Free version blocks any initial network access attempts of the "system" applications (as explained above), forcibly/implicitly sets "EnableAll" zone to the applications implicitly always and prompts you with "Now Enabled:" in the notification balloon. The behavior provides system/network related services with unlimited network access.