When I see malware that connects to the internet and capture data I look for samples and the result is almost always the same, the malware connects to the internet even if the modem / router has a firewall and none of the ports are open.
There are still malware loggers (key, screen, spy ...) that creates copies of system files or uses them to access the internet. A peer-to-peer firewall is required even if there is a windows firewall.
The comodo firewall will ask you about certain circumstances if you want to allow access to secure applications exploited by malware. But as competitors fortunately or unfortunately (I am taking into consideration only the firewall) should correct remote access even if it is a secure application, for example: I am on machine A, application B is reliable and has its network access Allowed and you can access machine A without any alert or warning from firewalls either from CIS or from your competitors