Don't forget, the VMX is a firewall. You don't normally need to restrict traffic to it.
If you do wish to restrict traffic to it then configure manual NAT traversal. Whatever port you choose, allow that in. I would also allow ICMP for diagnostics.
https://documentation.meraki.com/MX/Site-to-site_VPN/Automatic_NAT_Traversal_for_Auto_VPN_Tunneling_...
Also, be careful limiting outbound access from the Azure side. The VMX will need to be able to talk to any IP from remote MX that has an AutoVPN association with. If you limit this, then AutoVPN can only bring up connections if the remote end does so.
This reduces the reliability of the system. If the AutoVPN goes down to a peer, and that peer does not detect it, then the VPN will remain down and won't self heal. If you allow the VMX to talk outwards to everything, then if either end detects a failure either end can repair the connection. Much more reliable.