This particular scenario was an OpenWRT NAT loopback configuration issue. Looking at the changelog, this was implemented in base system /etc/hotplug.d/firewall/10-nat-reflection only starting from 10.03.1-rc4 (which I am running), but LuCI 0.9 is only able to assign redirects into "lan" zone. According to an OpenWRT developer LuCI 0.10 will be able to assign redirects to other zones as well. For now doing a manual redirect in /etc/config/firewall with "option dest dmz" will achieve the desired result.
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