Receiving alerts despite being blocked by rule

I have a Creality K1 3d Printer that I prefer not phone home to China, as I would sometimes get a warning from Advanced Threat Protection that :

"The source IP/host listed below was found to communicate with a potentially malicious site outside your company".

I created a rule to drop all external packets from the device. Yet I still get Advanced Threat warnings. The Internet appears to be blocked on the printer. Should I be worried?

Fixed weird typo
[edited by: RChadwick at 5:25 PM (GMT -8) on 8 Feb 2024]