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In this part the connection from the Internal goes back to one of the ports of the adsl modem/router not the main switch or something else.
There's your problem. You can't do that. I think what you really need here is an additional (non-ADSL) router. Have your existing router just play dumb relay: turn off it's wifi radio and only use the one cat 5 connection for the untangle external interface. The other ports on the router will effectively be a dmz. Then plug the new router to the internal interface on untangle, and use that for your other devices.