There a people who know more about it than me, but I don't think it is wise to dispense with the firewall. My understanding is that the integrated NATS protection has its limits and that a good software firewall offers more comprehensive security. I think it only blocks some incoming traffic, whereas Norton et al will also control what your computer sends out. This covers you for spyware etc. being picked up.
I run a similar setup and it's no problem to have Norton running. I have PCcillin on a laptop that does seem to slow the startup but runs well after that.