IANAexpert, but it would seem if you stream content (as in Netflix etc) directly to TV (hence smart TV) then it has to have connection authority through any firewall. Nothing preventing it from sending data on you to aggregator at that time
If you want to keep the conveniences of smart TVs then you need to live with the understanding that the TV sends out information in the background. What kind? Well, it's going to send out maintenance information anyway. It's going to check for system updates, for example. But apparently Visio and several others, send out information about usage. But I wouldn't say that's "spying" on you. It would be stuff like its model and serial number, IP address, what channels it's tuned to, what times it's on, stuff like that. It's not sending video streams of you watching it.
And if you're really curious what they're sending, you can always learn to use a network analyzer. There are several free ones out there you can download. Now, if it's encrypted, you're not going to know anything other than it's sending and receiving stuff, which any smart TV will do in normal operation. But if it's communicating in the clear, you'll get to see what some of what it's sending is.
As far as a firewall, with my setup I can see a map of all connected devices on my network, and if I want I can block an individual device. But, if it's blocked, I don't get the services. So, it's like I said. You make a choice. You decide if you want convenience at the price of privacy.