Seems like version 18.105 now supports SGTs over the MX: "Added support for forwarding Secure Group Tags (SGT) on traffic. This is available on Z3(C), MX64(W), MX65(W), MX67(C,W), and MX68(W,CW), MX75, MX84, MX85, MX95, MX100, MX250, and MX450 appliances and enables full stack (MR+MS+MX) Adaptive Policy operation."
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