I noticed the exact same thing just a few days ago.
When the natted client attempts to connect, there is a source IP address list which allows you to choose your interface. Well, if your NATting is not done on your PC (I have ipfw running on my Sparc at home), you are SOL. Hand-typing in an IP address instead of selecting one from the list does not rewrite the address of the IP packet appropriately.
I hope that Shrapnel/Malfador addresses this, or uses DirectPlay 8 or something nice.
