Something almost no firewalls get right is pausing connections (NOT rejecting them) until I've decided whether to allow or not. The only firewalls I've seen do this are Little Snitch for Mac, and Portmaster for Windows (before they made it adware / started locking existing local features behind the subscription).

I use Portmaster (on Linux) and I have never seen ads (either in the app or apps that get their DNS from Portmaster) on it. About the only thing I saw different between the free version and the base level paid for version was traffic history and weekly reports (and badges on Discord if that's your kind of thing).

Firewalls don't do this because they are built at the wrong layer to do proper pending calls. It's too narrow of a design space for most firewalls to care.