@jimp:
The weight setting is for load balancing, not failover. It lets you set the approximate bandwidth ratio of the links, relative to each other. For example, I have 3Mbit DSL and 10Mbit cable, so I use a weight of 1 for DSL, and 3 for Cable, so for every 4 connections, 3 will use cable.
The traffic that is being blocked is likely due to it being out of state traffic, which is probably happening due to the asymmetric routing you have going on. Under advanced options, you may want to try checking the option to "bypass firewall rules for traffic on the same interface" which can improve the situation in your case.
interesting, I've enabled the bypasss fw rules for traffic on same iface, and it seems to have improved the vpn traffic, although I did enable and start playing with the traffic shaping at the same time.
thank you.