I think XP firewall should be no problem.
As for the router firewall, I'm not sure, but I'd guess that might just BLOCK certain things, but not slow anything down as such. And you're not "losing" anything, so that should not be an issue.
But, you didn't mention webcam before - I too have assorted intermittent problems when I add webcam to voicechat on YM. I generally settle for voice only.
And one more thing - the "realtime virus protection". I mightn't recommend as a permanent solution, but I wonder how much (if any) THAT may be slowing the process down. Are you able to temporarily kill it, and spot any difference ?
And I guess the other point of difference if your BT Communicator - I've no idea if/how that might affect anything. But I guess you COULD try a standard "international" version of YM, maybe ?
(Sorry, in a rush heading for work Tue morning here - proofreading and/or further thoughts later, maybe
)