Check your user control level. If it's "Client control", the SEPM firewall rules are ignored by the clients, which are using their own ones. And your SEPM blocking rule would be ignored.
See Clients > [group] > Policies > Location-specific Settings > Client User Interface Control Settings
If you want to enforce the SEPM firewall rules on your clients, change to "Server control". In this case, the client firewall rules are ignored.
If you want to use both kinds of rules, you must use "Mixed control". Then you should put your SEPM blocking rule above the blue line. Otherwise, it can be overruled by the client rules.