I have been looking for this exact feature as well. GlassWire clearly advertises the firewall functionality prominently - the download page states it like this:
Download GlassWire’s firewall & network monitoring software to detect and block threats your antivirus missed.
Clearly, there is emphasis on the security and especially the firewall aspect of GW. I just wish the company’s marketing and development sections were a tad more in tune with each other. The feedback definitely is on the forums.
I find diox8tony’s way of putting it quite fitting - Be an actual Firewall.