I can only talk about dansguardian. I have used it with success under Plutohome, but I have not tried yet under LinuxMCE. It is on my to do list as I have a 13 yo. The only issue I can remember is that the port 8080 keep getting reassigned to Apache and I would have to go in and manual commit out the 8080 line from /etc/apache2/ports.conf.
Please keep us informed if you attempt the samba PDC. As for the firewall, there is a webadmin page where you can configure the firewall, I have never made any changes, but it is there. I believe that it is under Advanced > Network tab, but I am not in front oh may machine to confirm.