This only prompts you after the connection has already been rejected, instead of holding it for approval like Little Snitch and Portmaster -- but I did have WFC installed on my Windows machines anyway, it's still useful.

More than a decade ago, I tinkered around with doing stuff like this. I found that many Windows apps got ugly and naughty when you hold up the connection. I started making a list of the various methods I used to try to hold the connection before user authorization could occur and that's about where I gave up on working it.