Hi @Mats Estensen , apologies for the delayed response. I need to get further clarification, but I did discover that diagnostic settings for Express Routes to a log analytics workspace is not supported. Until confirmed, I would error on it not being supported.
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EDIT: I've confirmed that ExpressRoute gateway for a Virtual WAN does not support monitoring. Reason being the appliance isn't an ARM type in the sense like ExpressRoute gateway for a Virtual Network, which does support monitoring. I'll get this reported so the documentation and portal states reflect this. Apologies for the confusion.