I may be wrong, but I think @hmc250000 has the Sonicwall and MX in parallel. In guessing you have public IP x.y.z.1 assigned to the Sonicwall and x.y.z.2 assigned to the MX, no problem with this.
If the LAN side of each firewall is completely different then you should be able to port forward on both firewalls to separate subnets internally.
However, I believe you have both connected to the same LAN and the Sonicwall's LAN interface is the default gateway, this means everything works there. The MXs LAN interface is in the same internal subnet so inbound packets will get to your internal devices, but the return packets will come out through the Sonicwall leading to them being dropped (as they don't correspond to an incoming connection on that device).
If you want to have both, I think you have to separate out the LANs, unless someone else knows a better solution...?
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