Yes pfSense is a stateful firewall and the WAN is default deny…. When a device on the LAN makes a request outbound, it creates a firewall state, and this state allows the IP to come back thru the WAN to your LAN (IPv4)....
So protect the Outbound... and if you open specific ports on the WAN, then you can add rules for those open ports only...
If you add Deny Both or Deny Inbound, and there are no open ports, then all your doing is logging all the traffic that is hitting your WAN interface but it already being blocked by the default WAN Block rule... So all your doing is filling your widget and firewall/alerts logs with entries.... Best to actually review what is getting blocked without all the noise...
The DNSBL IP is used when DNSBL Feeds contain IPs... It collects them and puts them into a firewall rule, as Unbound cannot block on an IP, it blocks via a domain name.
So follow the same philosophy as above for this also.