Application network traffic filtered, when screen is locked?
You are confusing "network traffic filtering" with Application "synchronization."

When your Mac goes to sleep, it suspends all other applications from execution.  Meaning, your Spotify client doesn't get updated.  When you use your Spotify client on your mobile device, for example, the Spotify service (in the cloud) remembers all of that activity.  When you wake your client, it checks in with the service, looks for changes and then synchronizes them.  This is the case for any application that syncs it's settings via the cloud (Safari, Messages, FaceTime, Photos, Spotify, FireFox, Edge Browser, etc.)

Network Traffic Filtering looks at individual packets and either blocks them or allows them based on a "filter" rule.  It won't queue them up (and especially not on a sleeping computer) for later processing.