I wont re-explain since someone already gave a detailed explanation but if you're interested in having more control over your apps and their access to internet but don't want to pay for safing's subscription you can also use SimpleWall from Henry++, has a nice zero-trust by default and you get used to it eventually.

Safing is two different things:

Portmaster a nice graphical firewall to control each program, rules based access and network permissions.

SPN: a onion network like Tor, but pay for use.

Portmaster and SPN integrate together nicely and let you say things like:

Skype should route to Italy.

Chrome should route to Texas

Edge should have no internet access

Steam games should have direct raw internet.

So it's a very interesting and novel approach. Faster than tor, because the onion nodes are high performance. They accept monero as payment so semianonymous, harder to identify then a traditional VPN because each program can have a different exit.

It's all open source, it's interesting, worth playing with.