To the best of my knowledge the answer is YES.
If a packet is not specifically allowed in the Firewall Policy, it will not be allowed. Firewalls follow the 'dangerous unless proven safe' policy.
I know there is a 'block all' rule in the SEPM firewall policy, but I believe it is only there for clarity.
In either case, this should be easy to test.
Just make a firewall rule that say, "Allow port 80". If you are unable to ping the computer, you know everything else is being blocked.