My DHCP server does assign a default gateway, which works for all clients except the monowall. This is the point of my original post.
Ah, missed that.
What's the default gateway it's assigning? Some OS's will accept a default gateway that's not within the subnet of the interface you're assigning it to, even though that's wrong, but FreeBSD (and hence m0n0wall) won't. That's the only situation I can think of where it wouldn't accept the default gateway given from DHCP.