If you are actively running malware executables on your PC I’d say it doesn’t really matter what software/firewall you use. Your computer is already probably going to be compromised.
Also it looks like this is Windows 7 which isn’t even supported by Microsoft anymore. You can tell by the prompt icon and when he makes the virtual machine to run it on that VM site/service.
On top of all this, even if we ourselves use the Windows Firewall in some situations with GlassWire to make rules, Windows Defender will find an issue if it’s not done a certain way. I think with an updated Windows 10 install Windows Defender is going to alert on this pretty quickly and disable it if it doesn’t disable the .exe in the first place from ever working at all.
I guess to know more I’d need a copy of the .exe to run in Windows sandbox with Windows 10.
The Windows Firewall is actively used by around a BILLION Windows users/devices, so in my opinion it’s tested and safe to use and it’s not a good idea to disable it.
If you’re going to run random executables on your PC then there isn’t much that can protect you but you should look more to an antivirus to protect you in my opinion, not Windows Firewall API.
I have seen this channel before though and I like his videos! They are cool and useful.
I do see he did one video on GlassWire but he had our firewall off during the test. I wonder what “ask to connect” mode might have shown him.