Sorry, I didn't set the reply notification flag on my last posting.
I really sounds like there is a problem with your Sonicwall config and not the SMS appliance. I can't tell from your last message what your configuration is though.
If your external MX records point to the IP address of the Sonicwall, then port 25 on your Sonicwall should NAT to port 25 on your SMS appliance. From the internet, if you telnet to port 25, does your SMS appliance answer? If not, then you will need to investigate your firewall config.