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I had this issue on a new build also. I had to do the following.
Navigate to Firewall->Log Files->Plain view, once there I clicked "Clear Log" at the lower right and my firewall live view started working.

I just installed OpnSense a few days ago and have a couple of vlans up with Pihole as my DNS on all interfaces.
After looking at the Live Firewall Logs I can see my WAN IP(External IP) connecting to websites.

I do not know why this would be happening.
If anyone could explain or point me in the correct direction to add rules to block this I would appreciate it.