However I was about the the press space or Enter key in the text I was typing, and now I unintentionally ALLOWED the connection

Urgent request / suggestion: can you please introduce a small delay before accepting hotkeys like Enter or Space or Escape or anything to auto-confirm the popup? This will prevent a lot of mistakes. If other people are bothered by this, you could make this optional (in Little Snitch settings) or even set a custom delay time before the popup can be dismissed by a key shortcut.
Thank you.