My guess is people are confused because Microsoft has marketed WSL2 as a replacement for WSL1, and it makes sense for WSL1 to go through the Windows firewall, so people assumed WSL2 would behave similarly.
If nothing else, I now understand that I'm going to have to read up more on how WSL2 actually works, because I found WSL1 to be a really elegant way of running Linux on Windows without having a whole bunch of virtualisation in place, but it sounds like there's more virtualisation now, and also Hyper V networking has previously broken my network stack.