Thunderbolt Ethernet Bridge; Very slow outbound packets to LAN and Internet
Have you looked carefully at Firewall permissions on both computers? You may be blocking outbound connections from the MacBook Air on the iMac.

If you are protected behind a router, I'd try these tests again with all Firewall and networking limitations turned off. I'd also try turning off Little Snitch if I had it installed, while running these tests.

Apart from the lightning fast file transfers (SSD speeds I imagine), between MacBook Air and iMac, you could try adding a local 1000 BaseT switch and plug both machines into that switch via ethernet. For the MacBook Air, you'd either need a Thunderbolt to Ethernet adapter which you have for something like 1000 BaseT speeds or if you are willing to live with 100 BaseT speeds the simple Apple USB Ethernet Adapter.



You could also try plugging the iMac directly into ethernet so you are not crossing ethernet to Thunderbolt with Thunderbolt to Thunderbolt as Apple Network Sharing works less reliably between two identical protocols (Thunderbolt-Thunderbolt) than two different ones (wifi-ethernet, Thunderbolt-ethernet).

Please let me know how you get on with your network sharing issue.