Currently, there's no way to route Application Insights traffic over ExpressRoute without enabling routing for the entire region.

Other services, like Exchange Online and SharePoint Online, have BGP communities set up. There are even BGP communities for SQL, Cosmos DB, and storage. However, one does not exist for Application Insights:

https://docs.microsoft.com/en-us/azure/expressroute/expressroute-routing

There should be a community specifically for Application Insights, especially if we want to make it the ubiquitous tool for monitoring in the Enterprise.