Integrating cisco Umbrella would get you what you need for L7 firewall capability. However, I have not tested it yet, after creating a group policy you will see the L7 firewall option on the vMX side. Also, in the cisco Umbrella side for more DNS level security options. Cisco Umbrella Policy option: Cisco Meraki vMX Group Policy option. Using the Cisco Umbrella would get you what you need for L7 security. It is worth trying/testing, ask for a trial account.
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