Little Snitch is basically a user-friendly general-purpose application Firewall. When a connection hasn't been whitelisted before, it pop up a dialog box allowing you to accept/reject connection to a host/domain/port permanently/temporarily.

uMatrix does not protect you against 'malicious' connections initiated by non-browser applications. Little Snitch does not provide the fine-grained URI-level filtering that uBlock/uMatrix provide.

Edit: if you have a Mac, Little Snitch is well-worth the money. It is very polished, does the job, and the developers are not greedy (I think I purchased an update once after I started using it in 2007 or 2008).