First of all it's not fear, it's documented that MediaPlayer does this. If you have an external firewall you can see it happening. Second, Windows used to honor software firewalls but no longer does for itself. If you have any internet access Windows is getting out when it wants to and the software firewall will never even know. Do you get firewall alerts when Windows searches home for an update?
Jetico firewall can block every attempt to connect.
Every library, every call, every remote call, every hook, etc.
I'm still working on building my rule set, and I've been at it for 3 weeks.