Q: Does that work with messages app?  I want to to stop the app from connecting to the internet so I won't receive while working on something on my mac

Why not just close it?

You can also set Notifications to Do Not Disturb and you won't see any notifications and no sounds will play.

And, the firewall doesn't work that way.

A firewall is a network management tool to isolate parts of the network from other parts.

If you block connections to iMessage, it won't get any, but you cannot configure it to work some times and not others. You would have to go in to the settings to change the block/allow each time you want to do work or not. It is designed to configure and forget, but you can use it however you'd like. I suppose you could just configure it, the turn it on and off which would limit the futzing to a few clicks.

Simpler to just quit the app and open when wanted.

The firewall may also cause problems with other apps and connections.