There are some requirements that you need to configure before:
https://documentation.meraki.com/MX/Content_Filtering_and_Threat_Protection/Configuring_Active_Direc...
And yes, you need to buy an Anyconnect license.
How does AnyConnect licensing work with the Meraki MX/vMX appliance?
Customers are expected to have a valid AnyConnect license to use AnyConnect with the MX Appliance. Customers are not required to validate their licenses via the Meraki MX or the dashboard. Customers will only be required to accept terms and conditions of use before they can enable AnyConnect. If you are already using AnyConnect or setting it up for the first time, there will be a dashboard notification to accept the terms and conditions of use. There will be no disruption of the AnyConnect service for active networks.
https://documentation.meraki.com/MX/Client_VPN/AnyConnect_on_the_MX_Appliance/AnyConnect_Licensing_o...
I am not a Cisco Meraki employee. My suggestions are based on documentation of Meraki best practices and day-to-day experience.
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