Yep , im looking for the best way!
If i have 2 x vMX deployed on Azure , i'd need to set up failover using Azure functions
https://documentation.meraki.com/MX/Other_Topics/Deploying_Highly_Available_vMX_in_Azure
creating an ipsec tunnel between secure connect and an Azure VPN gateway looks like the less complicated option. On the Azure side , routes would point to the VPN gateway and i wouldnt have to mess around with functions.
Policy/performance based routing outbound from Azure isnt too important to me.
thanks for your input so far , this is all very useful!