What kind of failover, are you trying to achieve? For High Availability between to MX'es, it's Warm Spare (VRRP) and not AutoVPN. AutoVPN is the Meraki propriatory Site-to-Site VPN technology. For Warm Spare, both MX'es need their own internet connection for cloud connectivity etc. You would then connect the MX'es together via their LAN ports only. Depending on your scenario, you don't neccessarily have to connect the MX WAN interfaces to eachother.
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