I had a similar problem last week and the guys at Smoothwall Support helped me out. Basically changing the file /modules/auth/httpd/global-cgi-bin/ssllogin/login.cgi
will allow you to specify the FQDN rather than the IP address of the Smoothwall box.
Give the guys in support a call and they can tell you the exact lines of code to change and then you are still supported.
Cheers
Mike