I find conflicting info on this...
The Ethernet port supports the configuration of Ethernet frames larger than 1,500 MTU (Maximum Transmission Unit).
Hmm, I remember that the iFix tear down revealed that the 2011 iMacs had a Broadcom BCM57765B0KMLG Eithernet chip. (just go to the page and if you are using safari/firefox press command + F and type "Broadcom" to jump to that particular)
so I did a little googling and found out that:
So it should support Jumbo Frames.
I set it using System Preferences -> Ethernet -> Advanced -> Ethernet -> Configure Manually.
I've confirmed the setting by checking the output of ifconfig. It shows an mtu value of 9000.
Some of the 2010 iMacs did not I read.