Mori_Yuki: There are many games requesting outgoing access
timppu: Maybe I was more surprised that the game installer would modify system settings like the firewall. What if I am not using the Windows firewall but some third-party firewall (or no software firewall at all), what do those installers do then?
That's only possible when you set your firewall - whatever it is - to handle requests automatically. When the Windows firewall is deactivated nothing should happen and no rules will be written allowing or denying access to the web.
Deactiving it via System->Update and Security->Windows Security->Firewall and Network Protection even though it says Defender Firewall is deactivated because you are using another product - it isn't necessarily true. Just make sure it actually
is -> Win key + R -> firewall.cpl -> Enter -> Windows Defender Firewall activate or deactivate ;-)
Also, since most security suites allows you to define what applications are allowed to do on your system, there should be nothing an installer should be allowed to do except what you explicitly allow it to. While it might be tedious to always confirm what some software is allowed or denied to do, what level of access to your system you grant it, in the end your system is more secure and you in control over processes running on it and be on the safe side. Many security suites offer a training which should adapt to your settings so at some point you can have it take over and monitor what it does only occasionally like Comodo Suite I use for Windows.