Untangle will strip VLAN tags, so depending on your configuration this won't work.
And, I've already told you "how". You have to remove the switch loop! Stop plugging both of your UT interfaces into the same vSwitch. You need to make a new vSwitch, the Untangle protected vSwitch if you will. Attach that vSwitch to Untangle's Internal interface (the second adapter in the VM list). Then attach Untangle's external to a vswitch that has a physical interface on it that can get online.
Once that is done you're free to start moving VMs to the protected vSwitch or not. Even if you are in router mode you SHOULD be "wiring" it this way. You're using IP level divisions to separate what should be separated on a switch level
This design is no different than a physical network. Internet -> router -> stuff -> Untangle -> protected stuff.
And don't forget that one or both switches involved with Untangle need to have promiscuous mode enabled.