As the other person mentioned we recommend having the VRRP path(s) be over downstream switching links. It works fine with a direct MX to MX link, but there's really no advantage to doing it. VRRPs are sent on all VLANs so there's no concept of a dedicated "heartbeat" link or VLAN.
Also, if you had a “box” design of MX1 to MX2, MX1 to SW1, MX2 to SW2, and SW1 to SW2 you’d have path failover, but it would require more hops. For example, if the link between MX1 and SW1 failed presumably MX1 could still reach SW1 the long way through MX2 and SW2. Instead, if you connect each MX to each switch and the link between MX1 and SW1 fails it would only need to take the path to SW2 to reach SW1.
That is all for NAT routed mode MX.
For concentrator mode "1 arm mode" you only use the WAN 1 port on the MX and the VRRPs are sent on the shared VLAN connecting each MX (primary & spare) to the switching infrastructure. So, definitely no direct MX to MX link should be made in concentrator mode.
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