Little Snitch is bound to the API provided by Apple. The NEFilterDataProvider API calls `handleNewFlow()` only after sending out the first IP packet.
Version 6 added DNS encryption and in principle we could filter lookups (similar to PiHole) at this level. That brings other issues, though: This filter is system-wide, so process-specific rules (and overrides) would not work. And results can be cached by mDNSResponder. So when a blocklist causes an issue, you may not be able to fix it by simply disabling the blocklist. But it's still something we consider.