Not necessarily (with Open Snitch at least), it just depends how complex you want to make your firewall rules and what the specific goal is (block this specific script, block scripts which try to do this activity, block connection to evil.net, block python scripts, etc).

The more granular one gets the more likely they aren't really meaning to ask how to do it in the firewall layer though. E.g. if we take it further to wanting to prevent python -c "specific logic" it's clearer what you can do in the firewall is not necessarily the same as what's practical or useful.

The allow rule for Firefox is what would suppress the prompt. You probably don't want to have a prompt for every Firefox connection though, so you'd need to come up with some kind of ruleset (or get very annoyed :D).