Apple OS will bypass any user space firewall.
You can verify this yourself. Get an old laptop to act as a wifi hotspot and forward traffic over usb ethernet adapter to your actual router. Then run tcpdump on the computer. You will see the multitude of phone-home traffic.
Non-macOS user here. Does macOS not let you run things as root?
Well, I block all connections to iCloud for every app (user and system) completely with Little Snitch, and the fact that it does indeed break some little features I can absolutely live without, indicates that it has at least some effect.
But still, I fully share the sentiment that creators of an OS are perfectly capable of bypassing whatever there is running on top of it.
Is there evidence of this anywhere on the internet? I couldn't find anything with ten minutes of searching, and I don't use little snitch, and I'm not going to put the effort in to remediate this just to figure out if this comment has weight.