I have ExpressRoute private peering set up and all works fine, routes are advertised via BGP into azure and these can be seen in the routing table of the peering with entries from the relevant BGP peer as expected.
If I select a network interface and display effective routes, those routes advertised from ExpressRoute are shown as next hop type Virtual network gateway, with a next hop IP address. My question is, where does this address come from, is it generated by azure as some sort of gateway translation address, and do I have to avoid using it? Mine happen to be a private address 10.20.x.x, other peoples examples I've seen were not, I find it strange that a random private address I may be using within Azure vnets could be used.
Am I missing something? Any insight appreciated.