Breeke,
I'm a little confused by your question. Are you experiencing this problem on your site using JFBConnect, or are you interested in purchasing and need the answer to help decide?
In general, there isn't any functionality built-in to properly handle the situation. When a firewall blocks content, the site that's trying to load that content doesn't 'know' it's been blocked. That's all done on the users end (in the browser), not in the site content that's being delivered. That's been a long standing issue with anything that blocks content is that it can cause 2nd order effects (especially in sites that work, but load blocked content).
While it may be possible for us to detect this situation with a lot of Javascript and do something else, in general, we haven't heard any real problems with this in the past. You're probably the 3rd user in 2+ years to ask, so from our perspective, it's not a widespread problem.
Hope that helps explain, even if it's not the exact answer you were looking for,
Alex