Seeing there are no replies I will post what I found. Basically, everything was ok, the problem is that the app seems to do a preliminary check and then will create tunnels on subsequent checks when it finds a new site with the tag.
Solution: Make sure there are no tags when the function app is running, wait for the function app to do the first pass, this will take about 5-10 minutes (as the app runs every 5 minutes). Then add your tags. Then it works fine.
Another thing to note is that if you remove the tags then the tags are removed from the VPN configuration on the Meraki side and so no networks are passed and there is no connectivity, but the VPN that was created in Azure will remain there so no cleanup is done by the automation, only VPN creations.
Final thing to notice is that you must have created a VPN Gateway, the app doesn't create this for you. This is not mentioned in the document, where it just tells you that you need a VWAN and a VWAN Hub. You also need a VPN Gatway in the VWAN Hub you are going to tag.
I hope this is useful for anybody else testing this out.