This is for a switch though, but I assume they won't test 3rd party SFPs on MXs neither.
But I suggest you try. We had great success with programmable SFPs from 3rd party vendors in Meraki devices. Cisco "classic" SFPs (like the one you mentioned) not so much. But this is only our experience, yours may vary.
We have been using a Cisco GLC-T module for the internet connection of an MX250 that is the one arm concentrator in our main datacenter for a country-wide SD-WAN for over a month with no issues. Meraki will investigate any issues with unsupported modules, but if the module looks like it might be the cause they will ask for it to be replaced with a supported one before completing investigations.