@leecallen:
I then created a single Rule for the WAN interface:
Action: Pass
Interface: WAN
Protocol: any (I have also tried TCP/UDP)
Source, Destination: defaults - "not", type any, no address
In/Out: in=WANin, out=WANout
"Not" "Any" means the rule does not match any traffic. It will not direct traffic through the queues defined.
What you need is a rule that catches everything, meaning you uncheck "Not".
Secondly, check the direction of the rule. It matches traffic based on whether it is leaving the WAN or entering the WAN port.