Try a Phex restart. Might help. A system restart might help but most port forwarding these days should not require such things. Depends on the hardware/firmware.

I get the impression there's some firewalling/NAT happening. But I guess there's no reason that should be happening now.

Did you use a specific port for the port forwarding or a choose a random port approach? Otherwise try using a specific port & also add that to Phex's listening port in Phex's option-settings. The local port for example. Might make it easier if both internal & external ports are the same in the port forwarding, that's what i normally do.