Hello,
The recommended approach of connecting on-Premises ACI with Azure ExpressRoute is described in the "Intersight Connectivity" section in this documentation - Cisco Cloud Application Policy Infrastructure Controller - Cisco Cloud ACI Hybrid Multi-Cloud Design Guide - Cisco
Cisco ACI > on-premises router > Microsoft Enterprise Edge Router (MSSE).
Regarding your question "connect Express-route VPN connectivity directly on Cisco ACI as on L3 Out using bgp", I do not see any restriction here as long as the border leaf run the BGP with proper config parameters.
Let us know if this helps.
