You'll have to configure the MTU size from end-to-end, i.e. including the VMkernel port group.
You can test whether Jumbo frames work, using the vmkping command. Make sure you provide the required flags (like don't fragment) in the command. A good example for how to test, and troubleshoot Jumbo frames can be found at Troubleshooting ESXi Jumbo Frames – Rickard Nobel