I suppose the you can solve the IP address problem by assigning your machine a static IP in the same subnet as the firewall's LAN. I have an XG at home so I dont remember the exact installation steps - but I suppose you have to manually select the LAN IP on which the firewall will be reached when you install it. You can validate the IP on which the firewall is listening on the firewall boot screen. Assuming that IP is 192.168.0.1:4444 ; assign your machine 192.168.0.2 with a 255.255.255.0 subnet mask and gateway as 192.168.0.1. Validate cable connectivity and you should have access to the firewall then.
To enable access to the internet for the LAN devices look at this video - https://www.youtube.com/watch?v=m7A-fKEQJys
P.S - If you don't really have a strong need to use the UTM product , try the XG.It has most of the features in the UTM product that you may want for home use. I found it friendlier to configure and easy.
I would say that perhaps the router is responding to the Ping response and not the UTM. On the UTM check this - https://community.sophos.com/kb/en-us/121415