The firewall rules for Sponsors are used in SysHardener, because it cannot block the execution of Sponsors via shortcuts, CHM files and some other files with dangerous extensions. Those vectors of attack are covered by H_C default-deny settings even without blocking Sponsors.
There is no need to use firewall rules or block Sponsors in H_C default-deny settings, when using Windows 10 with updated system/software. Simply, access to the command line will be blocked, and the Sponsor will not be executed. You can see that also from Malware Hub tests. See the sample in the wild:
An active malware campaign primarily targeting U.S. corporations with a new polymorphic variant of the Qbot banking trojan has been compromising thousands of victims around the world, researchers have reported. The worm-like malware, whose original version is roughly a decade old, allows...
malwaretips.com
I tried to explain in the FAQ when the user should block Sponsors, especially Interpreters. In rare situations, the user could also use firewall rules instead, when some special software cannot work with blocked Sponsor. This would not be especially effective, but better than nothing. The similar idea would be blocking some special executables by the firewall (like rundll32.exe), which cannot be blocked in H_C, because they are often used in Windows. I am not sure it this help much, but can be done.