LACP's transmit link selection method can result in wildly asymmetric loading. In extreme cases, all of your traffic may end up sent out a single link. For example, cluster sync on a bonded interface will only ever go out one link if you're using LACP.
Default transmit link selection is based on the layer 2 source and destination. If the firewall is being inserted into a link between two routers, you will only see two source-destination MAC pairs, so load balancing will be bad. Switching to layer 3+4 hashing may help, but can still result in weird behavior.
Other bonding styles—such as round-robin—may be more appropriate for distributing load.