I've been using the Sphinx firewall for a couple weeks now and all I can say is "WOW", this is a great piece of software. There's a fairly steep learning curve but its not that difficult to learn and its well worth the time. I've completely disabled the built-in Windows firewall service so I rely solely on the Spinx firewall to protect my system.
You just can't believe how much stuff this firewall blocks (if configured to do so) with regards to telemetry. As a test I installed Wireshark on my machine after I had finished locking it down with Sphinx and all my other WIndows 10 tweaks. I also watched some YouTube videos on Wireshark and Windows 10 just to get an idea of what other people found.
One guy did an install of Windows 10 with all the defaults and used a local account to login to the machine with. He then let Wireshark run for 15min and Wireshark captured over 500 000 packets!! The machine was "idle" with no apps running and he wasn't doing anything on the machine except capturing packets with Wireshark.
He then did another test with a clean Windows 10 build with ALL the privacy options set in "Settings" and let Wireshark capture the packets again for 15min. This time he captured 1600 packets!
I then did the same thing on my machine. I let Wireshark capture packets for 15min but I had no applications running or apps running in the system tray. I wanted to see how "chatty" my locked down install of Windows 10 was with the Sphinx firewall and all my tweaks.
The end result was, Wireshark captured just over 900 packets!!
Most of the traffic captured was ARP, broadcasting on the LAN, ICMPv6 and STP with my switch. There were a few DNS requests for client.wns.windows.com but the actual connection (not DNS) was blocked by the firewall. Whats sneaky is that it tried 3 times in that 15min to connect to different IPs for that domain!
I've yet to install Windows Updates via my WSUS server with the built-in Windows firewall service stopped/disabled but I was able to install an update from the machine catalog without any issues.
All in all, very happy with the Sphinx firewall and am glad I bought it and invested some time setting it up. I think my machine is as private as I can make it and have blocked all connections to Microsoft for telemetry. (I don't use the hosts file at all to block domains as I know MS can bypass these entries, Sphinx can't be bypassed).