When it's done by software running on hardware you control, it has to consult your hosts file and your iptables and your proxies and your routers. Ultimately it can't do anything you don't let it. You don't have to opt-in to paying attention to the connections each program makes, but you also don't have to willfully ignore them.
If you care about that sort of situational awareness, there are tools like Little Snitch that make it easier.
