Start the VMX deploying. Get it's public IP address fro the Azure console. After a minute or two it will be running enough for you to point your web browser at it. Log into the local status page. Update the DNS servers. https://documentation.meraki.com/General_Administration/Tools_and_Troubleshooting/Using_the_Cisco_Meraki_Device_Local_Status_Page#MX_Series_with_Single_Dedicated_WAN_Link ps. I would disable the local status page from the Meraki Dashboard once deployed.
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