Yes, you should be fine. By default the SEP firewall should allow most traffic with an SBS server, you shouldn't have too many problems with the default ruleset, but you may want to tune it to offer more security.
Failing that, you can start with Network Threat Protection installed, but "withdraw" the firewall policy - that will tell the SEP client to pass all network traffic, but it will still be scanned with the IPS engine, which will considerably increase your network threat protection level without giving you the headache of configuring firewall rules straight away