You need your LAN rules the other way around. Rules are matched from the top down, first match wins, so all your traffic will be matched by the "Default allow LAN to any rule". None of it will get to "LAN thru ExpressVPN" - put "LAN thru ExpressVPN" above "Default allow LAN to any rule".
On WAN and EXPRESSVPN rule tabs you should not need any pass rules - unless you have a public server or similar, you do not want to allow incoming connections from the big wide internet. Traffic initiated from you (on LAN) is passed by your LAN rules and pfSense recognizes and passes the data flowing back in the reverse direction for that.