In my Hyper-V setup I set a vNIC for each VLAN.
IE, I have a vNIC for LAN(3 port LAGG), WAN(separate port) that are using default VLANs. Then 2 more vNICs with the VLANs tagged in the adapter settings(using the 3 port LAGG). So as far as pfsense is concerned each 'VLAN' is actually a separate physical interface.
This is probably not an ideal setup for more than a couple VLANs given there is a max network adapter you can have, and it would be pretty messy even if you could, but it works quite well for my purposes.