Enable full management of the Windows Firewall
Enable full management if outgoing as well as incoming firewall rules in Intune Device Configuration Profiles.
Enabling the management of outgoing firewall rules, and providing the ability add individual exceptions would help prevent data leakage in corporate environments.
Brooks Remp commented
We really need this. Importing a .WFW file from blob via powershell sets off an alert in Defender "Windows Defender Firewall is using settings that may make your device unsafe".