Yes, this should work. Ensure the "Server Type" under Server Configuration is set to Firewall. I assume port 25 is not blocked on the network where Xeams is running but is blocked on the network where the actual downstream server runs.

Here is a network diagram:

Internet --------------> Xeams ----------> Downstream SMTP
             Port 25            Port 2525
 

Are you running into any problems using this configuration?