Welcome to the Microsoft Q&A Platform. Thank you for reaching out & I hope you are doing well.
I understand that you would like to know about the use of Express-Route Cross Connect to overcome the Inter-region Firewall Filtering traffic limitation
I discussed this with the Azure Virtual WAN Product Group team and below is their update:
Yes, but this only applies for VNET to VNET traffic and is not an architecture we recommend to customers.
For more details, you can reach out to previewinterhub@microsoft.com
Kindly let us know if this helps or you need further assistance on this issue.
Thanks,
Kapil
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