Greetings Vshaulsk
No, im not using Zentyal as a gateway - i use Pfsense. Its generally considered a bad idea to virtualize your gateway/firewall/router, and o run as little services on it as possible. So i would rather suggest, keep your services such as web, mail, file sharing on a dedicated server running proxmox, and run a minimal zentyal or pfsense on a dedicated server as your gateway/router/firewall - much more secure due to less surface to attack.
Performance wise, in my limited tests with mixed files up to 2Gb, theres little performance loss - proxmox openvz containers effectively use host fiesystem for storage, whereas Virtuabox uses a VMDK file as storage ON TOP of host filesystem.
Really hope this is helpful to you.
Best regards
Craig