I would like to do the same thing. I have asked about this as well and received no answer. It would appear Cyren will work only for domains that are setup in the mail server. Even though we pay for the unlimited user version of SmarterMail and Cyren, it seems to ignore any domain not setup on the server. I suspect it's some sort of licensing issue between SmarterMail and Cyren but I could never get anyone to give me a response on the forums. And I don't want to burn a ticket for a support rep to reply with "you can't do that".
They also seem to have gone one step further and disabled the X-SmarterMail-TotalSpamWeight header for non-local domains. That's how we used to filter spam for our gateway domains but that's nearly impossible now. This is another issue I am unable to get a response on and I'm not willing to waste a ticket on.
It's stuff like this that makes me look around at alternative mail server solutions.