Did you figure out or get answers.
I previously had expressvpn working with 3 client locations in a gateway failover configuration with opnsense 16.7.9.
gateway monitoring was working fine with google dns servers
After the system upgraded to 16.7.10, i decided to move to pfsense think there was more support and user base, but haven't found it yet.
I have the issue like you. 3x vpn clients, gateway config - getting offline due to 50% errors when using opendns or google dns servers as the monitoring addresses.
It seems to be ExpressVPN not passing ICMP as best as i can tell. If i traceroute from ubuntu it goes through without error, but if i traceroute with "-I" or from windows I get request timeouts at the same spots where i get packet loss using dpinger from the command line on pfsense.