Make sure you are allowing all traffic from your sonicwall IP address in the upstream device that is NAting to your MX. I had a though time deploying a Meraki vMX in Azure, since Azure gives you a NATed public IP address.  The biggest issue I had was that nowhere in the deployment documentation it's mentioned that you must allow all traffic from the IP address of any none Meraki peer you want to establish a VPN connection to in the Azure Network Security Group assigned to your vMX. ... View more