Hi romero,
Thank you for reaching out to us on the Microsoft Q&A forum.
As an original poster cannot accept their own answer, I am reposting it so that you can accept it an answer. Accepted answer will help other community members navigate to the appropriate solutions.
Issue: On-premises express route BGP is advertising 0.0.0.0/0 and using Azure Firewall to control traffic (including internet).
Solution: I'm trying to understand that there is no better way to do this other than to fix it with the correct BGP on-premises and move on.
Yes, there is a solution to the above concern, so I recommend you correct it from the On-premises end.
Remember to "Accept Answer" so that others in the community who are experiencing similar challenges can easily find a solution.
Your contribution is greatly appreciated.
Regards,
Ganesh