Oh right, ipchains... yeah, can't do stateful with that... Well in that case I would recommend iptables.

I'm very certain from looking at the plugin code for the source port thing that it's simply a false positive looking for ICMP unreachable errors. The other errors the pop up are due to assuming the opposite, i.e. expecting an unreachable and when they don't get it, giving a warning.

Remember that not all the Nessus plugins are written by the same people, so the testing methodolgies and assumptions made are frequently not the same. When in doubt, look at the plugin source (you can find them at www.nessus.org).