Sorry for the mail-flood but I finally got It working and I think someone else could find this useful.
The root of the problem was that no peth0 interface was created on Dom0, after reading xensources wiki and doing "brctl show" made it clear.
I still dont't know why this was happening but I think It was somehow related with SELinux or netplugd.
I reinstalled FC5 without SELinux nor iptables, and xenguest-install.py just worked as expected, and the DomU guest got DHCP and reached the NFS mount-point exported in the Dom0 Itsef.
Maybe some smart developers should take look at this.
regards.
