@cmb:
We do exactly as described frequently, nearly all our production firewalls in several colos, our office, homes, etc. run in ESX (ESXi technically, I and most use ESXi and ESX interchangeably these days). Never so much as a blip. So it's far from a general problem, tons of people do what you're doing with no issues.
Need some more troubleshooting, packet capture to see what gets where, check firewall states for what's getting passed, etc.
What version of ESXi are you running? The systems I have tried it on have all been ESXi 5.0 (I've not tried 5.1 yet). We have many of the same setup on ESXi 4.x without issue.