Windows does not accept firewall rejection?

Question

Computer networks

Found interesting here:
There is a Mikrotik, a firewall is configured on it, in the prohibition rules it is set - reject with icmp host unreachable. Variants of icmp answers tried to do different.
In general, the point is - when you try to open a prohibited resource in a browser on Windows - a very long wait until it pops up that the site is not available. As with a normal drop and not a reject.
While on the same network, ubuntu immediately stops trying to connect.
It turns out that Windows does not know about rejections? How, then, to make it quickly stop trying to connect to a blocked resource?