I've been trying the same thing. Only been successfull for outgoing traffic so far. I have three interfaces on my m0n0wall setup, WAN, LAN and OPT1. WAN is bridged to OPT1.
I made a screenshot of my settings so far. If I enable the shaping for incoming traffic, connectivity is lost like in your case.
I think I remember reading somewhere that the rules can only match for incoming traffic when interfaces are bridged so thats why its setup this way now. Only half working though.
Something else I cant get to work: mask pipes by source or destination. No extra pipes seem to be created and all traffic flows through one pipe only.
-edit- see also
http://m0n0.ch/wall/list/showmsg.php?id=334/33