Thank you for reaching out.
I understand your facing connectivity issue from your on-prem to Azure via Express Route.
Based on your statement above.
Could you please help how DMZ network can reach to Azure VM. can we add this route in express route peering.? or is there any way were we can auto propagate routes ?
Yes you need to add this route to your peering so that eBGP can advertise the route in Azure. In Azure express route routing exchange is over eBGP protocol. EBGP sessions are established between the MSEEs and your routers. For connectivity between on-prem DMZ network to Azure you must advertise the routes from your on-premises Edge router to Azure via BGP.
Currently there is no way to auto-propagate this route.
You can follow the guide here, just in case you face any connectivity issue even after advertising the DMZ route.
Hope this helps! Please let me know if you have any additional questions. Thanks!