Generally speaking, personal firewalls should provide two functions - blocking unwanted inbound traffic and controlling outbound traffic. On a home PC you usually don't want any inbound ports open, so Sygate should be able to cope with that (possible exception would be seeding torrents and hosting games). As for outbound, as long as you set your firewall to block any new outgoing connections until approved (and are carefull about what you approve), you should be fine there. As Basa said, firewalls shouldn't need to change that much.
Personally, if it works now, I would stick with it.
(There was a thread a while back linking to a firewall leak test - might want to search for that old thread)
---------- Post added at 15:13 ---------- Previous post was at 15:08 ----------
Thread
here