I thought about this randomly while walking around at work CB. I'm not a windows genius by far, but I feel that claim is for the default MS firewall turned on and playing with other firewalls. Smart security is a package deal where Nod32 is a very robust Anti-virus only program.
What I ponder, and am really unsure of, is if you turn the WHS firewall off and use Smart Security's instead. Then, there's only one firewall in play with no issues. However, I feel the WHS' firewall is deeper than that and what allows you to connect in the first place and be a stable server.
I'm looking at the package and don't see it's value on a home server though. I'd save it for another personal build (got a garage? It needs an old computer in it, STAT!). A WHS doesn't need Anti-Malware protection because you're not cruising the internet on it and just use the dashboard interface, has a good 2-way firewall, MS's antivirus is really good and free, don't need anti-spam unless you're hosting a mail server on it too, Parental controls are in the Client OS's and also in routers, and have no idea what "Security Training" is.
Basically, I just come to the conclusion that it's not made for a server and there's other options for free. You can toss Nod32 on there just because, but I'm not getting attacked on any WHS version ever used even when ran bare. MS security essentials does fine as long as you set up your network well in the router and not freely hand out accounts on the interwebs.