"Incoming block" means that incoming new connections are blocked, but established traffic is allowed. So if outbound new connections are allowed, then the incoming half of that conversation is okay.
The firewall manages this by tracking connections state (such a firewall is often called a "stateful firewall"). It sees the outgoing TCP SYN and allows it. It sees an incoming SYN/ACK, and can verify that it matches the outbound SYN it saw, and lets that through, and so on. If it permits a three-way handshake (e.g., it's allowed as per the firewall rules) it will allow that conversation. And when it sees the end of that conversation (FINs or RST) it'll take that connection off the list of packets to allow.
UDP is done similarly, although it involves the firewall remembering enough to pretend that UDP has a connection or session (which UDP doesn't).