With the Windows 7/2008R2 firewall it doesn't seem possible to explicitly block connections that use 127.0.0.1 on a per process basis. Have I missed something?
127.0.0.1 is the loopback device, I would assume that special rules apply.
It wouldn't surprise me if any traffic on the loopback device simply bypasses (at least) the Windows firewall.
The firewall doesn't block/inspect the localhost/loopback address (127.0.0.1) because it's your computer. So since the target and source are the same, there's really nothing to firewall.