Either one or the other, but not both.
The SP2 firewall isn't great, but it's much better than it's previous incarnation.
I did use ZA Pro in the past without problems alongwith a hardware FW. Still I do hear recurring mumbles of probs with ZA (probably because it isn't set up right [and it can be difficult]).
I notice the new Norton 2005 switches off the SP2 FW and does it's own thing - interesting.
Stick with ZA if it's working for you.