I think you'll struggle / experience weird things if you try to have 2 Azure VPN tunnels to the same remote subnet. What you can do, and we have done a lot of, is peer the Azure VPN to the MX's DDNS hostname. This will resolve to the primary uplink IP during normal operation and then if WAN failure it will update and the Azure VPN should re-establish to the other WAN IP. This will be a lot slower and is less elegant and flexible than deploying a vMX, however.
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