Honestly the vMX for Azure does not provide much in the way of security in the cloud on its own.
What it does do is provide an easy, connection agnostic way for sites and remote user to reach the cloud.
But there is nothing stopping you from using the vMX as a cloud entry point for your meraki SD-WAN and remote access VPN, then handing the flow over to Azure firewall when traffic moves into your VPC.
I find this to be a balanced solution for most cloud environments. It leans on what you have and is quite easy to "shim" into existing cloud environments.
Also worth mentioning is site to site VPN firewalling. I find that many companies run flat L3 VPNs. In those cases Meraki can offer spoke to spoke and spoke to hub access controll. This in many cases is a huge security improvement before the client traffic even enters the cloud environments.
If you want Meraki to do more of the lifting, look into a full stack (MX, MS and MR) for visibility and their SASE offering (Secure Connect) for DNS, Web, SIG and all the other offerings.
Note, Secure Connect is essentially Cisco Umbella 😀
MLL