I suspect that the 3rd party client is *not* using the PPTP server as the default gateway.
The Windows PPTP client sets your workstation's 'default gateway' to be the PPTP server by default - so that once you are connected, all network traffic is sent by your workstation to the SME server, then out to the Internet. HTTP, by default, is proxied by the SME, and so will behave differently from other protocols.
You can "fix" this with the windows PPTP client by looking at the properties for your VPN connection, then the properties for TCP/IP, then clicking the 'Advanced' tab, then removing the check-box from 'use default gateway on remote network' (I'm on an Apple right now, so these quotes and prompts are from memory and may not be exact...)