I have to connect an onpremise network to Azure VNET. I understand that Azure Virtual Network Gateway can be used to create a Site to site VPN. However, my customer is concerned about the security and looking for more secure options.
I have read articles about using Cisco ASAv and similar virtual firewalls. My question is if I plan to use one of these virtual appliances, then can I avoid creating the Azure Virtual Network Gateway in the VNET?
Do I need both a virtual appliance (Virtual appliance to be created in the external facing "DMZ" subnet) and Azure Virtual Network Gateway?
If both are not required at the same time, what is the advantage of using a Virtual appliance over Azure Virtual Network gateway?