Here is a screenshot of a test I am running from the terminal that uses localhost networking to connect two MQTT brokers running in the same process through a custom networking backend. At the lowest IETF level the custom networking backend is using QUIC (udp). There are some additional mDNS shenanigans going on too, in case multicast is the issue. I see that this pop up is firewall related, which I'm unsure has to do with the Local Network Privacy feature. But this pop-up is new with the new version of macOS.