'Default gateway does not belong to the same subnet...................." message while configuring static IPV4 on the NIC

Hi there,
I am running server 2008/2012 windows domain, win 8.1/10 clients.  I am in the process of making my Sophos firewall SG310 (10.10.10.6) being the default gateway for my users.
I am running three subnets:
10.10.10.0/24
10.10.2.0/23
10.10.10.0/23
On my DHCP server I am publishing 10.10.10.254 as my router address till now so my clients IPV4 config looks like:
IP address: 10.10.10.5
subnet mask: 255.255.255.0
default gateway: 10.10.10.254
DNS: .........
Whenever I make put into a test client the static IPv4 config as:
IP add: 10.10.10.5
subnet mask: 255.255.255.0
default gateway: 10.10.10.6  .......<<<<<<<<Sophos firewall SG310
It gives me 'DG does not belong to the same subnet............................................"

Purpose:
1)  I want each and every client's traffic on my domain to go through my Sophos firewall SG310 for fileting purposes
2) If any user purposely changes the IPV4 on a client to my previous settings with my router address as DG will not get the internet.

Physical:
My Sophos firewall sites behind my router and till now things work great as a firewall but for filtering I need to make this sophos firewall as a gateway.  
What should I do so that the subject warning is not generated and my Sophos firewall becomes the DG of my domain?

Need help