I had exactly the same problem. Maybe the in kernel mlx4 module doesn't support RSS on the Connect-X 3? Try to install drivers from https://www.mellanox.com/products/ethernet-drivers/linux/mlnx_en (choose LTS Download, 4.9-2.2.4.0, the newer drivers do not support Connect-X 3). After installing the drivers I got:
egrep 'CPU|eth*' /proc/interrupts
CPU0 CPU1 CPU2 CPU3
48: 0 311 2 0 PCI-MSI 524289-edge eth0-0
49: 126 3 0 214 PCI-MSI 524290-edge eth0-1
50: 10 0 105 184 PCI-MSI 524291-edge eth0-2
51: 0 34 244 0 PCI-MSI 524292-edge eth0-3
RTR: 0 0 0 0 APIC ICR read retries