Is this a problem?
hmm I don't know, it might be enough to only forward port 4662, as this is the port on which mldonkey communicates to other clients.
The other option (and probably the best if you want to download lots of stuff with mldonkey) would be to replace your router with with an old linux pc running the mldonkey core and controlling it via telnet/browser/gui from your pegasos.
I'm doing it like this and my mldonkey runs 24/7, which is the only way you can decently download stuff from the donkey network imho.