So let me clarify everything with you really quick and let me know if I am understanding this right... here we go:
If an app uses or connects/relies on internet then it must ask your computer if it can communicate through the firewall. It's asking you if it's okay to connect depending on if you are on a public or private network. It's still an internet to computer relationship but now it's an app + internet to computer relationship. Anytime the internet needs to communicate to your computer there is a firewall, but with apps you just have to allow that access by ticking the box of which network is allowed. Just clarification really.
Example: Allow Unity to communicate on only Private networks so your info is safe. If Unity is connected to a private network it will communicate what it needs to with your PC, if on public, the firewall will block it and deny the internet to go to your PC.