Short answer, don't use OUT as a direction. It will only ever apply to floating rules and floating rules should not be used unless absolutely neccessary....So never use OUT as a direction on an interface rule. It really shouldn't even be an option except on Floating rules.
You can't block anything generated by the firewall itself if that's what you're trying to do.
Action: BlockQuick: YesInterface: WANDirection: OutProtocol: ICMPDestination: 8.8.8.8Log: YesDescription: Block ICMP to Google DNS
Can I ask, why would you want to block traffic from the firewall itself?? What exactly is being generated there?
If you did not try and put all your logic into one rule with direction "any", but separate them out into two rules for in and out, you could then easily switch them on and off at will to further inspect and see which way packets are blocked and go further from there.
While it may be instructive to bang your head at such points, to get something done, it may be easier to "got with the flow" and do things as they are expected to be done.