Here's a few advantages of a device running the VPN server behind a separate firewall:
1. There is potentially less of a CPU impact on the VPN server (assuming that Geoblocking consumes CPU). And fastpath could be enabled on the FTD.
2. No logging of the failed connections from the blocked IP ranges(/countries), unless all logs are being ingested back into the same SIEM
3. Not needing to be dependent on MX firmware not supporting certain Any connect features
4. Being able to restart only the VPN server for firmware upgrades.
The advantages of moving VPN to the MX is a simpler configuration and lower licensing costs.