That is even weirder. I have two 2.5 GbE switches (both unmanaged and pretty cheap) between my Mac Mini and my NAS, and I get the full 2.5 Gbit transfer in both directions.
For the record, I even tried disabling IPv6 in case that had something to do with it for remote connections, as I have it disabled on my NAS at this time, but it made no difference; then again, with global IPv6 addresses work the same regardless of how many hops there are. Disabling wifi and the built-in ethernet, and leaving only the 2.5 adapter on, doesn't seem to make any difference either.
I've even spent some time looking at my output for netstat -rn, but I can't really find anything out of the ordinary.
At this point I think we can only hope someone at Apple cares enough to look into it from the inside.