You have to click 'Yes' on that pop up message if you wish to recieve email from the outside world to your locally hosted domain. Ie mydomain.com. Then under the Addresses tab in the Email properties you create 'Aliases' that map to the applicable WinGate user. Ie
bob@mydomain.com maps to WG user bob. (you will see a default one created for
postmaster@mydomain.com that maps to administrator that WinGate requires to function correctly). This means that with only these two aliases set up WinGate will only accept mail for bob and postmaster @ mydomain.com and nobody else. Thus it is ok, indeed required, to bind your SMTP server to the external interface.
Regards
Neil