Windows Security can alert you if the firewall is blocking an app, but there are other signs to look for if it doesn't. You can check if the firewall is blocking an app on the Allowed Apps screen ...

When the Shields Up mode is active, Windows Firewall blocks all incoming connections, including those in the list of allowed apps to prevent further damage from the attack. When the attack is over ...

You will see the changed status as follows. Block all incoming connections, including those in the list of allowed apps Notify me when Windows Firewall blocks a new app. Select your preferences ...