DHCP not getting through in bridge mode

I am a first time user testing out Sophos UTM9. I have it up and running and so far so good.

I have an existing firewall/DHCP server/router (Sonicwall). Off that router are several subnets, one of which is my wireless network. For initial testing purposes I put the UTM9 in bridge mode on the wireless network between the router and all the wireless APs. Since the UTM9 is already behind a firewall, for now I want to basically disable the firewall and test the UTM features (primarily web filtering and virus checking, etc.).

I initially put in two rules:

Internal (network) > any > any (for outbound traffic)
Internet IPv4 > any > Internal (network) (for inbound traffic)

The problem I had was DHCP was not getting through and clients could not get IP addresses.

I had to add the rule any > any > any and clients were now able to get addresses. Now I am no worse off then I was before, but if at some time I wanted to apply firewall rules I don't know how to get away from any/any/any and have DHCP work. I cant set up DHCP relay when in bridged mode as I only have one interface.

Any ideas?