I just spent a bit of time testing this (see my thread) and found that if both MX's are connected to a L2 switch, then when you direct connect them as well, there is a loop and the client connected to the switch is no longer able to access anything. If you only have 2 MX's and are directly connecting your client into them, then you will need to direct connect them for VRRP to work. Otherwise you end up with 2 Masters which is apparently not good.
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