The default Maximum Transmissible Unit (MTU) for all SDDC networks is 1500 bytes. When you use Direct Connect, you can specify a larger MTU for the traffic it carries.
You can enable DX over to use a larger MTU when you create the VIF. If you do this, you'll also need to open the Global Configuration page of the Networking & Security tab and set a higher Intranet MTU Value.
This larger (or Jumbo) MTU value applies only to DX connections over a private VIF. Any VPN, whether or not it connects over DX, uses an MTU of 1500, regardless of other settings. You should also verify that the interface MTU of workload VMs that use the DX connection is set to a value that matches the Intranet MTU Value. Otherwise, workload VMs won't be able to take advantage of the larger MTU.