For me the problem was the hang in setup at gw.begin call. I solved reading this old topic : http://forum.mysensors.org/topic/773/ethernetgateway-hangs-after-gateway-startup-complete.

@spork said: How would I be able to tell if I was underpowering the Ethernet module? I have built the ethernet GW recently (genuine Arduino Uno and W5100) and it works like a charm. Try to power it up from an iPhone/iPad charger - they are powerful enough. By the way, Arduino Uno + W5100 + nrf24l01+ take about 250mA

Thank you that worked!