I'm note sure if I do not understand your question or you have a little misunderstanding what native vlan means 🙂
Native VLAN means how to handle untagged traffic.
When you say "We are using different VLAN other than VLAN 1 as native VLAN" you mean, that the switchport, your Check Point gateway is connected to, is set up as trunk and has a native vlan configured other than 1, right?
In Cisco Syntax, this would look like this:
switchport mode trunk
switchport trunk allowed vlan 10,25,35,999
switchport trunk native vlan 999
If this is what you meant:
This means that every Ethernet frame, this switchport receives from your gateway and which is not tagged (IEEE 802.1q) by the Gateway (Gaia) is handled as VLAN 999 traffic by the switch. Your SMB gateway is not tagging ethernet frames for interfaces which you define as normal (and not VLAN) interfaces.
Staying in this example, your traffic send by SMB gateway will also be assigned to VLAN 999 by the switch if you configure your gateway interface als VLAN 999 Subinterface (traffic is send tagged). But take care: The switch will send the traffic to your gateway without the VLAN tag, because the native vlan is set to that VLAN ID. So this will not work.
If your switchport is not configured as trunk but as access port:
switchport mode access
switchport access vlan 999
it will also only work if you configure the SMB gateway with a normal interface (without tagging).
This is because the (Cisco) switch with this configuration will only accept untagged packets and send untagged packets (if no voice vlan is configured).
To summarize:
If you need to send/receive traffic to/from the native vlan, then configure the gateway interface as normal (not VLAN/tagged). If you do not need to send/receive traffic to/from the native vlan, than just ignore that number and configure VLAN interfaces for the VLANs you need.