If you're using that as a smart host, you need to tell the proxy about it on the 'Relaying' tab. The SMTP Proxy usually should not be in transparent mode. Normally, your mail server should be the only entry on the 'Relaying' tab in 'Allowed hosts/networks'.
Cheers - Bob
Sophos UTM Community Moderator Sophos Certified Architect - UTM Sophos Certified Engineer - XG Gold Solution Partner since 2005