What type of control do you have set on your client?

- Server Control, Mix or Client Control?

If you have client control, all server-based fw policy rules will be ignored. 

I guess you got u r answer from Faithtake's Article and thanks to Vikram for mentioning the direct access link.

Do you want to block all ftp sites?
Then you can create a fire wall rule by selecting the network service
In the add rule wizard you can select network service and in the next screen you will get an option as ftp server. Select this and set the action as block
Note:You can add exceptions in this rule if req.
 

I have already tried these steps. But nothing has worked for me :(

Should work,,,not sure why its not working.

Have you installed network threat protection and proactive threat protection.. :)  

Yes I have installed NTP & PTP infact all the features :)

It not even creating the traffic or packet logs on the client :(

Try by making it as server control
For this
Login to SEPM
Clients----------> <prefered group>--------->policies (right side) ------>client user interface control settings ( under location specific settings)---------->select server control and give ok

In the firewall policies keep the policy which you created as first policy.
If you want to get logs in the client  write to traffic log /write to packet log should be selected .This you can do by right clicking on that rule in logging column..