For anyone coming across this in the future, the issue is that the vMX managed app bundles everything in and doesn't let you change anything, including not allowing you to change the vNIC to use a subnet + NSG you specify. You have to create the subnet/vnet/nsg before you deploy the app, then during deployment instead of using the wizard to create those elements, you tie the app to the subnet and vNet you already created and associated to an NSG allowing TCP+UDP 443 inbound (remember AnyConnect prefers and will work better with UDP:443 for DTLS, TLS:443 for TLS is a higher-overhead fallback). I outlined the process in detail here https://ccietbd.com/2022/04/20/basic-anyconnect-on-azure-hosted-meraki-vmx/
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