Eric,
if you are running native, you need indeed to create all the vlans that you are going to use on the MSFC.
BUT that does not mean you also need an interface for each vlan.
Actually, in the scenario that you describe the MSFC is not being used to switch traffic.
You must not create any interface vlan for the server or client vlans involved in this scenario.
We want to avoid servers/clients to bypass the firewall or the csm by going through the MSFC.
Regards,
Gilles.