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.         ... View more

I found this document useful for me. Hope it helps you to get your network designed. Deploying Highly Available vMX in Azure https://documentation.meraki.com/MX/Other_Topics/Deploying_Highly_Available_vMX_in_Azure     ... View more

Yes, I agree on that, Instructions are not that clear. However, I got NAT mode enabled for vMX by calling support team. They said, that is the only way for now.   ... View more