Browsers like Firefox bundle their own CA and CRL data, and I believe do dynamic checking too. OpenSSL does not.
You may not have any, or they may not be sufficiently up-to-date.
Historically at least, revocation with OpenSSL required the application to jump through hoops (fetch the CRL and feed it back to OpenSSL or such), and was rare. This may have changed, but I sort of doubt it. For example I can fetch the revoked domain with curl (built on OpenSSL) as well.
I'm ignorant about the Windows situation.
Unfortunately I don't know how to automatically check revocation with Reqwest (or if it's even possible). Hopefully someone else does.
If you enable the native-tls feature, you should have access to the use_native_tls() method when setting up your Client. That switch to your OS's TLS stack, and I imagine that would also give you your operating system's revocation list.