Mac OS 9.x in general cannot handle/transfer files over 2GB.
The only possibility I found in the past to transfer bigger files, was to use KDX-Client for the transfer to an iBook.
No problems with FTP transfers in OS 9 for me for files well beyond the 2GB range. I did notice the issue for AFP, though. Also, in Sb51's case, due to a problem in FAT32 itself, I believe there's a 4-ish GB ceiling, as well.
Though honestly, now that I think about it, I'm not sure I ever tried copying over files for transfers directly from the Finder beyond >2GB, since I always found myself using FTP for Ethernet convenience. Although I thought USB/FW transfer to HFS+-formatted drives would just work fine beyond the 2GB and 4GB barriers?