[INFO] MTU より大きな UDP データグラムが通知なしに破棄される
http://support.microsoft.com/kb/233401/ja

TCP/IPの下層での実装なのでUDPだろうがTCPだろうがPingだろうが一緒。

とりあえずWindowsXPとWindows2000ではそれっぽい挙動を確認した。1500バイトくらいのPing打って1発目返ってこないのはこれのせい。
Windowsって2003ServerからTCP/IP関連は大きく実装が変わってたはずだけど直ってるのかな？

2.3.2.2 ARP Packet Queue

The link layer SHOULD save (rather than discard) at least

        one (the latest) packet of each set of packets destined to  

        the same unresolved IP address, and transmit the saved  

        packet when the address has been resolved.

DISCUSSION:

             Failure to follow this recommendation causes the first  

             packet of every exchange to be lost.  Although higher-  

             layer protocols can generally cope with packet loss by  

             retransmission, packet loss does impact performance.  

             For example, loss of a TCP open request causes the  

             initial round-trip time estimate to be inflated.  UDP-  

             based applications such as the Domain Name System are  

             more seriously affected.

RFC 1122 - Requirements for Internet Hosts - Communication Layers