The MX's are running 18.211.6.
For the Umbrella SIG integration we worked with support but couldn't produce reliable data to prove where the issue was (Local MX, Umbrella VMX instance, Umbrella backend etc). Hence why we gave up on it and put the client everywhere instead. I suspect the secure client version of the integration (without the VMX's) work far better but was not feasible for us to deploy (and has additional costs).
For the FQDN's, it appears to be an expected behaviour according to the docs, but just a frustrating outcome when Umbrella is involved.
"FQDN-based L3 firewall rules are implemented based on snooping DNS traffic. When a client device attempts to access a web resource, the MX will track the DNS requests and response to learn the IP of the web resource returned to the client device. "
"MX will not be able to snoop TCP-based or encrypted DNS traffic."
MX Firewall Settings - Cisco Meraki Documentation
I'm quietly hoping someone else has found a way around this, or that there's a secret backend feature to enable the MX doing it's own lookups of the FQDN's. 😅