You should not. This statement assumes that the product is proof against all malware whose activity could have been detected by an OutBound connection alert from the firewall. Can one really make this assumption?
IMO, if a malware manage to create an outbound connection, you have already lost the battle. Malware must be stopped right away its execution, if not it doesn't matter what happens next.
Emsi's BB deny the creation of suspicious/malicious rules in the Windows Firewall, which is enough for most users.
Security vendors don't care of amateur testers throwing hundreds of malware against a product, because this isn't a real-world scenario; so it doesn't matter.
Outbound connections monitoring is only useful when the user want to control connections from legit softwares for whatever reason. Malicious ones shouldn't even be able to be created if the AV do its job properly.
If your firewall (the last in the attack chain) is the only module blocking a malware, you can start looking for a new security solution.