Coming in late here, but hopefully this will be of help to someone who reads this in 2023 🙂
I'm not sure why you are only looking at the AzureRouteServer subnet prefix. For eBGP to work, this does indeed need to be added as a local prefix on both devices. But other than that, it is only used for eBGP messaging between the vMX and Azure route server (ARS).
Meraki vMX appends its own BGP AS number to routes it learns from auto-vpn sites based on the hub priority configuration on the spokes. Both prefixes are advertised to ARS, but only the best one is used. This is the default eBGP behavior, and ARS does not allow you to change it.
The way I do it for my larger deployments is to create two templates, one where VMX1 has the higher priority and another where VMX2 has the higher priority, then load balance between the two templates. If you start doing this, you will see multiple prefixes with different next-hops in Azure.
As for routes learned by the VMX from ARS, the eBGP route learned from ARS is always preferred by each VMX, meaning that if traffic arrives on VMX2, it will go directly to Azure and not through VMX1. Only if you delete the eBGP peering from VMX2 to ARS will the traffic start flowing through VMX1 due to the Azure routes being learned via IBGP.
