I’ve not tried OpenSnitch but with LittleSnitch you can let it allow core macOS functionality as per their recommendations and then focus on your third party apps, which you can decide whenever they first try to connect to the web 
You have a good memory! It rings a bell so I must have used it as well at some point! Looks like it is still around: https://www.zonealarm.com
Personally I think you can’t be too careful in today’s world. Even at the most basic, with an app pinging to log it’s been used will mean they have your IP address, so within just a few months of use they have data on your probable whereabouts. Or, if they are sending more data, how private could that be and how much of it would you have been willing to share otherwise?
A good example is what I recently found Apple to be doing - opting people into Help Apple Improve Search without the users consent. What does this mean exactly? Does it mean they have the name of every file and folder on those user’s machines? Does it include metadata or even excerpts of those files? I’m pretty sure there will be legal action taken against this for now, and while I think many people will worry a little less because it’s Apple, imagine if a third party App was doing it 
It is well worth it imo, and it is the third security related thing I do when setting up a new Mac:
- Switch on Firewall (which isn’t on by default!)
- Turn on FileVault (encryption of your drive)
- Install LittleSnitch.
They were basically forced to fix it: https://www.patreon.com/posts/46179028 but it was the fact they did it to begin with is what dented faith in them - now they have the unenviable task of reversing that damage (but no sympathy from many because they brought it on themselves).
So just to be clear, LittleSnitch can filter Apple’s activity, but most people just allow core Apple services through via LittleSnitch’s recommendation in initial configuration steps, as it’s mainly 3rd party apps that are of most concern.
