Hi,
the 3rd party company probably have a VPN device at their site that is form the same vendor as the VPN device their are trying to put in your DMZ.
They probably also have a lot more of those VPN devices at ohter sites. From configuration and management point of view, it's a lot easier for them to have their own device from same vendor at each site. That way they are not dependent of the VPN device (your pix in this case) at the other site.
Kind Regards,
Tom