Hello @Mike Carter ,
I checked this in my lab and it seems like you are trying to use the edit/delete option on the first line option of Virtual Network Connections and this is where you see grayed out options as this is by design. In order to actually edit/delete the connections, you need to expand or drop down the Virtual Network option and then you should be able to get the edit/delete option to modify that Vnet connections. I have added the screenshots below for your reference:
And regarding routing traffic via NVA/Firewall in Virtual WAN, you can refer the below article:
https://learn.microsoft.com/en-us/azure/virtual-wan/scenario-route-through-nva
Kindly let us know if the above helps or you need further assistance on this issue.
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