Can't reach full 10Gb when crossing VLAN ?

Question 1: Does the firewall interfaces show you 10 Gbit/s? Can you show us the screenshot of your interfaces? 
Question 2: Any kind of Bottlenecks available in your setup? For example: Using the same interface for in / out. 

1. It doesn't show actually. The screenshot i have reattached below.

2. Actually no. The communication goes from one machine (where Sophos is virtualised) to my NAS, both through a 10G switch.

I have tested the switch throughput, by using the same iPerf to yet another machine but in the same VLAN and connected through the same switch, and I have not problem reaching the 10G there. The "problem" happens only when crossing VLANs (and going through Sophos).

Could you double check via ethtool ? 

I did that yesterday actually but shows the speed of the interface as “!Unknown”

I'd not expect any firewall to be capable of getting interface speed for traffic that passed through the device.

But what's the "Supported link modes" from the output of ethtool -i PortA

Is that the correct command ?

ethtool -i PortB shows doesnt show "Supported Link Modes", but ethool PortB shows "Not Reported"

ethool PortB :

ethtool PortB
Settings for PortB:
        Supported ports: [ ]
        Supported link modes:   Not reported
        Supported pause frame use: No
        Supports auto-negotiation: No
        Supported FEC modes: Not reported
        Advertised link modes:  Not reported
        Advertised pause frame use: No
        Advertised auto-negotiation: No
        Advertised FEC modes: Not reported
        Speed: Unknown!
        Duplex: Unknown! (255)
        Port: Other
        PHYAD: 0
        Transceiver: internal
        Auto-negotiation: off
        Link detected: yes

ethtool -i PortB :

driver: virtio_net_nm
version: 1.0.0
firmware-version:
expansion-rom-version:
bus-info: 0000:00:13.0
supports-statistics: no
supports-test: no
supports-eeprom-access: no
supports-register-dump: no
supports-priv-flags: no

You find some thought about this here: https://forum.proxmox.com/threads/network-speed-limited-on-vm.81347/ 

You find some thought about this here: https://forum.proxmox.com/threads/network-speed-limited-on-vm.81347/ 

Mixed results. The speed of the interface is known now but capped to 1G (lower than before).
Also, 10G doesnt seem to show up in the available Link Speed.

Settings for PortB:
        Supported ports: [ TP ]
        Supported link modes:   10baseT/Half 10baseT/Full
                                100baseT/Half 100baseT/Full
                                1000baseT/Full
        Supported pause frame use: No
        Supports auto-negotiation: Yes
        Supported FEC modes: Not reported
        Advertised link modes:  10baseT/Half 10baseT/Full
                                100baseT/Half 100baseT/Full
                                1000baseT/Full
        Advertised pause frame use: No
        Advertised auto-negotiation: Yes
        Advertised FEC modes: Not reported
        Speed: 1000Mb/s
        Duplex: Full
        Port: Twisted Pair
        PHYAD: 0
        Transceiver: internal
        Auto-negotiation: on
        MDI-X: off (auto)
        Supports Wake-on: umbg
        Wake-on: d
        Current message level: 0x00000007 (7)
                               drv probe link
        Link detected: yes