> If the agent itself concatenates a new URL together - with leaked data after a ? - you should block that from being fetched.

You're correct of course, I just want to note that the exfiltrated data could be in any part of the URL, so the absence of a query string doesn't indicate that no payload has been encoded into the URL. Arbitrary example, you can include credentials in a URL, so you could encode the exfiltrated data into a password.