I know this is an old post however people may be struggling with the same issue.
I've just used the following link to successfully set up RADIUS to work with UTM 9 on F/W: 9.502-4
http://techbast.com/2015/12/radius-authentication-between-sophos-utm-and-windows-server-2012.html
Thanks, Chris. You might be interested in a wiki article here: Using LDAP with Active Directory.
Cheers - Bob