Where you using Cisco AnyConnect before?
Is the person initiating the WOL packet using a directed broadcast? I've never tried using directed broadcasts with L2TP over IPSec, so not sure if they would work.
If you do a packet capture on the client VPN connection when the packet is sent do you see it arrive? If not, then I'm guessing L2TP does not support this.
If it does arrive do a packet capture on the LAN interface. Do you see it leave the MX and head towards the client? If not then perhaps the MX does not support directed broadcast forwarding.