The appendix E of the VSX tech.paper was added to cover FW use-case.
https://support.hpe.com/hpsc/doc/public/display?docId=a00094242en_us
If this is not enough, would this slide better explains:
In a nutshell, Active-gateway is set on L3 VLAN interface facing the server (provided the VSX pair does the routing).
For the FW attachement, due to active/standby model, it is likely you have to connect the VSX pair with a VSX LAG to FW active, and a seconda VSX LAG to the standby FW. Then you set a transit VLAN for routing on this VSX LAG. On this transit VLAN 2 options:
- active-forwarding if you use OSPF or BGP
- or simpler: active-gateway if you use static routing.
(it is not both, it is either).