I have included the lazyload_images filter to my pagespeed.conf and I don't see any behavior on my page that indicates that the filter is enabled, when the HTML is rendered: no scripts for lazy loading are added and the attributes are not changed by page speed to replace src="*".
The module appears as enabled on pagespeed_admin as you can see from here:
The issue seems to be related to Cloudfront, which I did not refer on the original post.
Cloudfront is sending the value "Amazon CloudFront" on the User-Agent, which is causing the lazyLoad module not to work.