Why do you want an application firewall? I thought the reason folks ran those on Windows was because of proprietary, must-have software that opened ports with mysterious purposes that unresponsive vendors wouldn't explain or close.
Little Snitch is designed to protect you by limiting outbound traffic. The idea is to block all traffic and approve or deny application connections the first time they happen by creating rules.
Imagine you are running a compromised package installed with e.g. pip. This could provide a last line of defense when it tries to steal your data, if it's not supposed to make certain connections.
