You've not mention your CX-3 speed rate (I assume it's 40Gb/s), neither the actual performance you've achieved, but to try and get the oprtimim perfromance I would suggest to start with the following actions:
1. Follow the performance fine-tuning guidance in the Mellanox WinOF "user manual" to set the proper parameters of driver & fw
2. On Windows platforms - use NTttcp performance tool rather then iperf3
(Windows Server: Using the NTttcp Tool to Troubleshoot Network Performance | Dell Israel