Thanks for all the comments!
Keosaki, Martijn and Vivian: I know there have been issues challenges using the Windows on-box Firewall with some E2007 scenarios. Although our ambition has been to allow customers to keep the Windows Firewall running, I know there are cases when it was just simplest to turn it off.
We have made improvements in this area in E2010. So I hope you'll no longer see a need to turn off the Windows Firewall.
Mikael: HMC supports a subset of E2007 scenarios, and adds some more scenarios to the HMC-specific supported list. Although HMC may support the scenario above, the same is not true for non-HMC deployments of E2007 or E2010.
For those who wonder what "HMC" ("Hosted Messaging and Collaboration") is, it's a special set of Microsoft product SKUs used by companies who host our products (e.g. Exchange) for use by other end-customers. For instance, a telecom operator might host Exchange to provide email service to their telephony end customers.
/K