I'd say blocking traffic to/from pirated software via a firewall is less something you should try if it isn't working and more something you should be doing everytime no matter what. That traffic is going to at best the vendor you ripped off, and at worst somewhere malicious.

If you're already pirating software then there is probably some kind of firewall solution you could also pirate to make it easier, so I don't think there's really much of an argument against it.