I've make some further tests with SSH Sentinel, ASTARO and others firewalls/VPN box.
The problem (unable to access directly to internet from the client when VPN is established) seems to come from a bad configuration of Virutal, either on Sentinel and/or Firewall.
If you're using SSH sentinel to establish a VPN tunnel and want to access internet directlly (without having to use the remote proxy), just uncheck the option "deny split tunneling" in the advanced parameters of the VPN tunnel properties in sentinel.