The built-in firewall governs incoming connections. App Firewall is about outgoing traffic: which of your apps is contacting the internet, where, and how much data it is moving - with per-app block rules that persist.
Yes. There is a live connection monitor, a connection map and data usage by app, plus connection alerts when something new starts talking.
No. It would be a strange tool for the job if it did - monitoring and rules stay on the Mac.
macOS. See whether macOS needs a firewall for the wider question.
You’re browsing inside Instagram, and its built-in browser isn’t allowed to hand links over to the App Store. Open this page in Safari and the link will work.
Tap the three-dot menu at the top right, then choose Open in external browser.