I've tested this before, and believe that the SEP FW includes undocumented in-built exclusions for LiveUpdate and SEP Heartbeats. Essentially, even a policy with a signle rule to block everything, will still be able to initiate a LiveUpdate to grab defs, and check into a SEPM (if a managed client).
The only way to block it is to either stop SepLiveUpdate.exe from running, or use a different FW to block it.