Environment was Hyper-V 2012 R2 and members of an NLB cluster can communicate with each other but have no external access. Problem seems to be related to the ARP requests for the gateway and how it is formed.
MAC Address Spoofing was already enabled on the VM advanced network properties.
The trick is to add a static ARP entry for the default gateway similar as follows,
netsh interface ipv4 add neighbors “Local Area Connection” 192.168.0.1 00-aa-01-d2-3a-cc