Are you kidding me? People click on these things all the time still. I work on computers and have to deal with them installing things they don't know about. It is even worse if it comes from an email account they know, they will blindly click on it and run it.
Read the article.
"they would first need to have valid log on credentials and be able to log on locally to a targeted machine." Sounds like you're already pretty well compromised at that point. Hardly a scary bug - if you've got local access there's plenty of things you could do.
all it takes a user to get that infected .exe file and boom. You're screwed. Lucky most users know not to ever open an attachment that contains the .exe file.
Firewalls on PCs for outbound connections are useless since it allows all outbound unless you create specific rules to block them.
First, read the article. As I said above, straight from the article, they can't just download an .exe and are automagically screwed.
Second, there are PLENTY of two-way firewalls that secure outbound connections by default. What you're describing is the simplest, dumbest old-school "firewall" on the planet. Even the built-in Windows firewall has some limited outbound protection capability out of the box for non-trusted programs.
Look at ZoneAlarm (just as an example - there are dozens of others) , they have been securing outbound access by programs since Win9x days. Back then you were prompted for each new/changed program requesting access. You could choose to allow/deny and it had options for remembering this choice until the program changes or until you change the settings yourself.
Now they use more automation and have various settings ranging from mostly-automated outbound security (learning mode, trusted vs unknown) to the classic strict mode I remember from years ago. Either way, there's more outbound program control available in the "Firewall" market than you can shake a stick at. Though many firewalls are now integrated into total security suites comprising AV, firewall, and anti-malware capabilities. Welcome to the 21st century.