Yep, Windows Firewall can easily block outgoing from any program. All you have to do is set the rule.
I hear ya about the notification thing with ZA. Like I say, "Set it and forget it" once you're notified the first time. Windows Firewall works the exact same way, it's just that you have to set the rule up yourself and you will not be prompted to do so.
Ya, ZA can be a pain to get rid of. You can boot to safe mode to clean the remnants.
You can go to that folder, then set it to show the Authors column, then click it to put in alphabetical order. Delete anything by Checkpoint or ZoneAlarm.
In the registry, search for Checkpoint, ZoneAlarm, ZoneLabs, Zone Labs and Kaspersky. Delete anything you find.
And then you could also check the users folder for those. Both your own account and All users.
When done deleting everything, use Ccleaner to clean the registry.
Here is a another good thing to merge to the reg (it's an uninstaller) to rid ZA from the system, to supplement: