Interesting! I'm still on Mojave, but when I move to Big Sur this will be good to know. Thanks.
It might be worth try to enable the macOS firewall, enable Stealth Mode, but have it allow all other connections. Set any blocking rules you wanted in Little Snitch only.
My guess (and it's only a guess) is that macOS firewall and Little Snitch as firewall would work ok together -- it seems to me that both sets of rules would be checked for each connection attempt, and if either one said to block the connection it would be blocked. That is, for a connection to succeed, both firewalls would have to allow it. It just seems logical... don't know if it really works that way though.