Yes, there are two ways to fix your issue. First, you could use an alternative software firewall which allows the blocking of outbound connections. Second, you could install a hardware firewall in your network and filter traffic using rules for both egress and ingress traffic.
I believe the reason that they don't allow you to block outbound traffic is for usability. If they took a "default deny," also known as a positive security model approach then a lot of users would have a lot of problems.
They could not suggest that you turn on your firewall by default if it took a positive security model to ingress and egress traffic from your box. However, I don't know why they didn't disable the egress functionality and allow users to manually enable it.