Is it possible to add a second firewall behind FWG?

The FWG will be in router mode. I am thinking of creating some VLANs and associating each VLAN with a subnet. Then, I will dedicate one VLAN to a firewall and add static routes to route the other VLAN's IP traffic through it. I see a possible success story here. 

My question is that if I do this, will FWG lose some or all functionalities, such as tracking, blocking, or parental features? 

Theoretically, it feels possible for FW to still track everything, because it still knows all the MAC and IP addresses, and all the outgoing traffic goes through it. But depending on how these features are implemented, it may or may not work in reality. It will be nice for people who know to comment on this.

Notes:

1. I am aware of people successfully running pfSense or similar on the WAN side of firewalla. That is not what I want. I want to run my firewall on the LAN side. 
2. This is not double NAT. Firewalla is assigning all the IP addresses and see them.