When you select Regional BGP community all public IP ranges related to that location will be advertised which covers Storage, SQL, Cosmos and Backup BGP community as well. You can use Get-AzBgpServiceCommunity command to get all the IP details. The services are separated to avoid a large number of prefixes gets advertised through BGP. The large number of prefixes significantly increases the size of the route tables maintained by routers within your network.
EX: If you are utilising only SQL services then no need to select Regional BGP community which advertise large number of routes, rather you can choose only SQL BGP community and Microsoft will advertise only subset of IP ranges with respect to SQL services. By this you can avoid unnecessary routes and significantly decrease the size of the route tables maintained by your routers.
If you want Microsoft 365 services such as Exchange Online, SharePoint Online, and Skype for Business IP's to be advertised then enabled those services in Router filter as well in addition with Regional or SQL BGP community.
Simple test to check the traffic flowing through Expressroute is to do tracert from your onprem source machine. Ex: tracert sqlservername.database.windows.net.
When you create Microsoft peering you might have provided primary and secondary subnets, from each of these subnets, you will assign the first usable IP address to your router and second usable IP for Microsoft(MSEE). When you do tracert you should be seeing the IP of MSEE, if yes then it is taking expressroute path, if you dont see the IP of MSEE the it is not taking expressroute path.
You can refer network performance monitor as well for additional monitoring capabilities
https://learn.microsoft.com/en-us/azure/expressroute/how-to-npm
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