Probably the router doesn't support jumbo frames. Can you set other devices in the local net with jumbo frames and access them from the outside?
3) For a jumbo packet to pass through a router, both the ingress and egress interfaces must support the larger packet size. Otherwise, the packets will be dropped or fragmented.
If the size of the data payload can't be negotiated (this is known as PMTUD, packet MTU discovery) due to firewalls, the data will be dropped with no warning, or "blackholed". And if the MTU isn't supported, the data will have to be fragmented to a supported size and retransmitted, reducing throughput.