Exchange 5.5 and Proxy 2 PF conflict?

I need your help: I am running MS Proxy 2.0 on an Exchange 5.5 Server (NT4) and am experiencing the following problem…

In Proxy, when packet filtering is enabled, outbound email in Exchange ceases to function. I have opened up my proxy to allow traffic in both directions for SMTP, DNS, POP3, and HTTP.

Am I missing something, or is there a conflict between packet filtering and the MTA?