OK, you can ignore this one now. After numerous reboots it just seemed to start working!
No idea why, but I am happy it's all working as it should be now.
Any news from this? I seem to hit a similar situation:
webGUI from the inside, m0n0wall talks perfectly well to the outside, but I can't reach the outside from the inside.
Is your 'solution' (numerous reboots) viable?