Hello @Glenn Thomas ,
Welcome to Microsoft Q&A Platform. Thank you for reaching out & hope you are doing well.
Yes, the best solution is to create multiple S2S VPN connections from your VPN devices to Azure with BGP enabled as advised in the below doc:
https://learn.microsoft.com/en-us/azure/vpn-gateway/vpn-gateway-highlyavailable#multiple-on-premises-vpn-devices
ECMP is mentioned for highly available configurations. But you can use AS path prepend to configure a primary-backup setup as below:
Azure VPN gateway will honor AS Path prepending to help make routing decisions when BGP is enabled. A shorter AS Path will be preferred in BGP path selection.
Reference : https://learn.microsoft.com/en-us/azure/vpn-gateway/vpn-gateway-vpn-faq#does-azure-vpn-gateway-honor-as-path-prepending-to-influence-routing-decisions-between-multiple-connections-to-my-on-premises-sites
Kindly let us know if the above helps or you need further assistance on this issue.
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