It still works only for legitimate apps. Any malware will use this loophole to bypass firewalls https://twitter.com/patrickwardle/status/1327726496203476992
Such firewalls are used for protection against asshole developers which want to collect analytics without asking for confirmation. Apple are one of the assholes and LS can only be an interim solution against the OS developer. This was bound to happen... and I guess only a HW solution will help now.
Will it catch everything? No, obviously. Will it catch enough things to make it worth running? I guess that depends on your threat model, but many think it's worth it.