Hope this answers your questions:
Remote access SSL VPN: Requires Any connect licensing separate from Advanced Security
DLP: Not a feature of the Meraki MX. You would deploy in tandem with another security solution.
Web Filtering: Layer 7 rules and content filtering is supported. More limited than a NGFW however
WIDS: The MX does support IDS/IPS or traffic through it but no additional WIDS capabilities
If all of those are a must have, it might be worth looking into Cisco Umbrella integration and Cisco Any connect for a full SASE solution (Cisco Secure Connect)