I'm not sure about the VMs part. But on the vSwitch you need to specify the MTU for each vmkernel as well. (Use case: some vmkernel traffic like management might go through a routed network that does not support MTU > 1500; so you'll want that on 1500 and the rest on 9000)
I'm interested in the VM behaviour tough. If you create a new vm now that everything is changed to MTU 9000 does the vmxnet3 configure this as well or does it come with 1500 by default?