I did set up Citrix Xenserver 5.5 using Monowall and a cable modem (WAN). It runs like a charm - XenTools (to monitor RAM usage and reboot, shutdown functionality without having to force it) currently not, but that doesn't matter, as I don't plan on restarting it anytime soon and don't need that extra "WOW".
For those having a similar setup: I created three different types of firewall-VMs (in a Xenserver environment - Smoothwall, IPCop, Monowall) and was wondering why the h*** the other two didn't get any IP address from the WAN interface: Answer was "MAC provisioning". Since the MAC address from the "Monowall interface" was already bound to the cable modem, it rejected every other MAC (interface) on connecting. *ouch*
If anybody else was wondering...