The Windows firewall is MS's attempt at security. It's flaky and not as simple to centrally manage.
If you want a firewall, I strongly suggest you let SEP's firewall work.
We found the Windows firewall to be problematic at best, and at times, not even secure.
When SP2 came out, the first thing we did was disable the firewall via GPO.
We use SEP's firewall, it's much better, is centrally managed, can be changed with ease and is far more secure.
Never run two firewalls at the same time. Bad things can happen - choose from this list things I've seen when two were active:
1. strange things - certain network functionality works one day, not the next,
2. things blocked you don't want blocked
3. things allowed you don't want allowed