Damn! I looked at your screen shot earlier and failed to spot that. :-[
Yes, that's certainly your problem. The sandboxed VM cannot possibly respond to any requests from the pfSense machine because it will just send any traffic to the proxy internal interface instead.
I see why it is done like that, you can bring up a test VM with the production config.
The answer here is to change the proxy internal interface IP. That will mean you have to manually configure the VM gateway as you say but it will resolve the problem.
Steve