If you place VM and edge on same host are they able to reach other ? I would also recommend to remove the LAG - that is not a supported design.
Infact, I removed DLR in the middle and directly connected the VM to Edge Firewall. It worked smoothly. I am not sure the issue caused by the DLR.
There are few test that you can do to isolate the issue:
1. Move the VM to EDGE host and test the ping.
2. Put VM in exclusion list and test.
3. Move DLR -VM and EDGE-VM to new host and test the connectivity.
3a. Follow step 1.
I was wondering if you have configured static route or default gateway for DLR. It is mentioned that default gateway is configured for ESG and if VM is directly connected to ESG then it worked fine. So its worth a while to take a look at DLR for static routes or DG.