The ICMP messages that you are seeing are part of the MX connection monitoring that it performs, https://documentation.meraki.com/MX/Firewall_and_Traffic_Shaping/Connection_Monitoring_for_WAN_Failover. It’s also worth noting the point about the traffic flows and how they may stay pinned if you’ve had a recent failover to the WAN interface connected to the MG21. You may want to contact support and see if there is any tuning they can perform on the WAN interface connected to the MG21 to reduce the polling interval for the connection monitoring. Something else they can do, which you may want to consider, is assign the Cellular Failover firewall rules to WAN2 on the MX so that you can use more restrictive rules for the traffic goes out the interface connected to the MG21, as opposed to the primary path.
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