ESX has a minimal performance hit. You won't notice it so long as you don't overload it.
You don't need pfsense and Sophos UTM. They each have their strengths and weaknesses, but trying to use both would be complicated.
You don't need a LAGG capable switch to use multiple physical NICs in an ESX box. You can configure ESX so that it keeps the same virtual machine MAC address associated with the same physical NIC. That way, a non-LAGG switch sees the same MAC addresses on the same ports and doesn't get unhappy. I may be wrong, but I think that is actually the default (I haven't looked for a while).
With the setup you describe, you don't need multiple ports anyway. Your clients only hit the ESX box to hit the Internet, and you are limited to way less than gigabit speed there anyway. You clients will talk directly to each other, so you don't need high bandwidth to ESX/pfsense for that.
Don't worry about the two unused NIC ports. Trying to force them into use won't make anything perform better, and will just make things more complicated.