> What is the cost of the running VMx in Azure? Is it cost effective.
It is when you have lots of sites. Not so much when you only have a couple.,
> How is the internet security handled if we are using the internet link from Microsoft.
It runs as a VPN concentrator only. It does not provide firewall, content filtering, IPS or other security functions.
> What is the best approach for HA in Azure.
I haven't seen any options for doing HA in Azure with a VMX.