Private IPs do work, you just need to specify an Identity on each side, depending on your deployment. The issue is that the SonicWall probably isn't configured expect the MX to send its private IP as its identity, or, if it's ignoring that for whatever reason, it's sending the public IP as the ID it's expecting us to use, which the MX is not expecting, and rejecting the connection. If you had planned on deploying the MX with a static private IP, just set that as the Local ID in Dashboard, and that should make it work behind a NAT without issue I would expect (may need to make some additional changes to your SonicWall to accommodate this as well)
... View more