ESX always uses bridge modus(NAT is a Vmware Server/Workstation feature), and works just fine with pfSense(why wouldn't it ?).
Edit:
ESX: In ESX you normally connect a physical interface to a virtual switch. Then you can connect your VM's to your virtual switch.
So if you want pfSense to function as a router/firewall, you should at least create 2 virtual switches, for example WAN and LAN.