Yes - the Secure Gateway is a service that filters ICA traffic at the application layer. It doesn't care what O/S you run it on. You can also run NFuse, sorry, Web Interface on Solaris. They could be on the same box, but best not to (Citrix recommendations). You definitely need a separate box (outside of the DMZ) for your STA. If you're not going to use ticketing, you can, of course, run SG in Relay mode - but that would be to defeat the purpose of using a secure O/S like Solaris, wouldn't it... ;-)
Hope this helps
CitrixEngineer@yahoo.co.uk