I'll focus on the second case for now, since it's easier to explain.
It's definitely some issue on the pfSense box, whether it be a bug or config problem. I'll try to clarify a bit:
Basically, I have a machine (A) on the LAN making a request to another machine (B) on the LAN using an external IP that has NAT reflection enabled. When the UDP packet goes out on A, it hits the router (R), which from what I can tell, copies the packet and sends to machine B with R as the source. Machine B then correctly replies to the packet back to R, but then it seems to be dropped and never gets forwarded back to A.
The packet capture from before shows exactly that. I've confirmed the same results using Wireshark on both machines (essentially tcpdump on Windows).
Edit: I should also add that I can't use the split DNS option. Since this uses the steam service, they refer to all servers by IP afaik.