WOW! what a cool win!
I haven't used eset security so no idea about their firewall. Just NOD32. I tried NOD32 v3 and it was very fine, but there are still some bugs, so I'll wait before updating.
Anyway, do you need extra anti-spyware?
I don't know. I wouldn't bother. If you've locked down IE7 and use Sandboxie (I don't know Sandboxie), probably no need. If it's bad spyware that'll try calling out, a firewall or NOD/eset should catcch it, shouldn't it?
I'd scan ocassionally with free a-squared and then SuperAntiSpyware but that's all.
I've read here that >1 antispyware is usually ok and I believe it. Still I wouldn't bother.
OnLine Armor was nice, but there was something I didn't like there. Don't recall what

Leaktests are a mixed bag in my opinion. Educational, yes, very, alert me to holes. Realistic? I wonder ...
Yeah, eset won't let you download or unzip some of those leaktests. And most are killed when you run'm. But what if ... remember, something like PCFLANK will hijack IE over a normal port 80. Yes, malware evolves, and we gotta be careful, always. I'd be looking into a host protection with something like System Safety Monitor or whatever eset has in their system.
Ever thought of switching out of IE7 into Firefox or Opera and a mvps HOSTS file instead of antispyware ideas?
I'm green with envy over the eset win. Great outfit, very responsive to customers, tight small footprints and effective at that, at least NOD32 is. Actually AntiVir is a winner as well when I think about it. I use it on another computer. It's free.
End of assorted rambling

I didn't answer your questions, did I? I don't know the answers