My first comment is that you don't need the SME server in a "DMZ" at all; if it's in server/gateway mode and is your gateway it is by definition exposed to the Internet. if it's a single-NIC server-only setup, it's best from a security standpoint simply to forward port 25 from your gateway/router to the SME machine.
Secondly, setting a delegate email server, which absolutely spiffy for doing just what you are doing, i.e. pre-filtering email going to Exchange, disables many other email-related functions and, it would seem, breaks the function you're trying to implement. Unless someone has some command-line wizardry to suggest, I think you're barking up the wrong tree here. Can Exchange do what you want?