The documentation for deploying a VMX into Azure needs to be updated:
https://documentation.meraki.com/MX/MX_Installation_Guides/vMX_Setup_Guide_for_Microsoft_Azure
The text around this needs to be change:
"Zone: Select the appropriate Availability Zone (AZ) for the region selected above "
In all cases, you want an AZ Zone of "None" selected.
If you choose an AZ zone the "Standard IP SKU" will be used, which blocks all inbound traffic. This prevents client VPN and AnyConnect from working. It can not be fixed without deleting the whole VMX and redeploying.
If you choose an AZ zone of "None" the "Basic IP SKU" will be selected, which allows inbound traffic, and now client VPN and AnyConnect can work.
Also, from a security perspective, the local status page is accessible to anyone on the global Internet. The documentation should recommend that users turn the local status page off.
Under troubleshooting, you can get a lot of info by enabling the local status page, and browsing to the public IP address of the VMX. It'll tell you if it can talk to the Meraki cloud, if it is having DNS issues, if it is upgrading, etc. But always turn the local status page back off when finished.