first thing i'd ask is why you think you need a dedicated firewall to stop out bound traffic in the first place?
there are situations where such abilities are needed but i'd say more on a work network than for a normal home user.
so for most people they are already behind a firewall in the router then you have the os firewall too, both firewalls stop all inward connections unless you initiate the connection and so there really is no need for another firewall in my opinion.
A firewall with outbound detection can be of use, but you’ve captured my thoughts already: if it detects something, in a way it’s already too late: your machine is infected.
Well, at the risk of repeating myself too many times: it’s too late. Your machine has been compromised, and you can no longer trust it – and that includes trusting your firewall. Yes, your outbound firewall might block the transmission – or it might not. The malware could, in fact, include additional code to actually reconfigure your firewall to let the malware’s communication through.