I have just done this myself (SME7.1 as guest OS in WMware 5.5).
I discovered the same problem with the host firewall.
The twist in my case is that I use SME as the primary firewall (beside other services) for my whole LAN.
But the problem was the same, I had to disable the firewall on the host (Sygate), otherwise nobody could connect to internet.
This could probably be solved by setting a rule in the host firewall.
I have tried a couple, but no success yet.
Anybody with fresh ideas?