Route Based VPN with dual ISP failover with BGP and Azure

Is there a guide on how to get Route based VPN going on a v18 XG?

I've got a HQ with 2 ISPs. I've got azure setup with a single Virtual Network Gateway with 2 Local Network Gateways each with a single connection.

I've setup IPsec tunnels to get the xfrm interfaces going. 

I can setup a static route to my azure subnet with either xfrm interface and it works fine.

I've tried setting up BGP instead of static route but I cannot find any clear documentation anywhere and I cannot seem to get it to work at all.

I've setup my Sophos with Router ID: (ISP1 wan ip) Local AS: 65521

Neighbor 10.125.250.14 (Default Azure BGP Peer IP Addres for virtual network gateway) Remote AS 65522 (per specified in Azure's virtual network gateway)

Networks -> 10.125.0.0 /16

In Azure on local network gateway1 I've set ASN to 65521 and bgp peer IP to that xfrm interface ip of 169.254.0.1

In Azure on local network gateway2 I've set ASN to 65521 and bgp peer IP to that xfrm interface ip of 169.254.0.5


Am I missing something here!?

I've even tried using this in the console:

enable
configure terminal
router bgp 65521
neighbor 10.125.250.14 remote-as 65522
neighbor 10.125.250.14 ebgp-multihop 5
end
copy running-config startup-config

That didn't seem to help at all either. :/