This issue was addressed with improved state management. This issue is fixed in iOS 16.5 and iPadOS 16.5, watchOS 9.5, tvOS 16.5, macOS Ventura 13.4. An app firewall setting may not take effect after exiting the Settings app.
https://support.apple.com/en-us/HT213764
https://support.apple.com/en-us/HT213761