L
Local Host
Incoming new connections are blocked, but established traffic through outbound will allow the incoming half of that exchange (else you would lose Internet access).The malware created an inbound rule. Enabling this option would nullify the rule created by the malware. I always disable inbound connection no matter which Firewall I use since I don't need it nor 99% average users.
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In the case of malware you would be exposed either way (unless you restrict access to the Firewall like I stated, or use a Hardware Firewall), the Firewall is not meant to detect and stop malware running on your machine.