I haven't tested this myself. But when using VTI you can set MTU higher than 1500 on the VTI interface. The documentation on this is rather sparse, but I see no reason why it wouldn't work? Unless Check Point Gaia is starting to fragment the traffic when it passes the external interface? But if the ISP is providing a transport supporting Jumbo Frames, one would figure you are able to have Jumbo Frames on the external interface as well.
This is a rather strange thing to do as you don't often have scenarios where you have WAN between locations supporting Jumbo Frames where you would rely on IPsec VPN with Jumbo Frames. If you have a transport path between locations supporting Jumbo Frames, you would normally not have the need for encryption and if you do you would not do it on the firewall.
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