In my Windows, it wouldn't be a problem. The firewall I use would pop up for any new program that tries to connect somewhere.

But Linux doesn't have a per-program firewall.

... and even if it did, there's no way to do popups/questions from the kernel,

... and even if there was, most programs would just run curl or wget or openssl. That would mean a popup for each and every connection attempt through those programs.

Windows does certain security things better than Linux OSes, which makes it such a shame that Microsoft keeps shipping more and more stuff with Windows that undermines all that work.

Opensnitch is really good on Linux