I have this same problem with the default firmware (using an E4200). I have a VPN server already, so I just forward 1723 to that machine. I connect and everything works and is great. However, it is very slow (about 200 Kbytes/sec). If, however, I stick that same machine into the DMZ and then connect to it, it is super fast (about 2800 Kbytes/sec). That's the only change I make.