We setup Jumbo Frames throughout all our network settings and have it working. The interesting thing and my question as to why:
On linux guests (all I've tested) and vmxnet3 even if the MTU is set to 1500, ping -s 9000 host works just fine.
Is this to be expected? Is there no need to ifconfig eth? mtu 9000 on the hosts like in the physical world?
The packets are likely being fragmented.
try a 'ping -s 9000 -M do x.x.x.x ' to set the no fragment bit. Additionally, try pinging with a packet size of 10000, if those work fine, the packets are being fragmented.
Hope this helps!
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