Probably VNI is applied after BGP
vyos@r4:~$ /usr/libexec/vyos/priority.py | match "vrf|bri|vxlan"
11 vrf.py ['vrf']
310 interfaces_bridge.py ['interfaces', 'bridge']
460 interfaces_vxlan.py ['interfaces', 'vxlan']
481 protocols_static.py ['vrf', 'name', 'protocols', 'static']
611 protocols_isis.py ['vrf', 'name', 'protocols', 'isis']
621 protocols_ospf.py ['vrf', 'name', 'protocols', 'ospf']
621 protocols_ospfv3.py ['vrf', 'name', 'protocols', 'ospfv3']
821 protocols_bgp.py ['vrf', 'name', 'protocols', 'bgp']
821 protocols_eigrp.py ['vrf', 'name', 'protocols', 'eigrp']
822 vrf_vni.py ['vrf', 'name', 'vni']
vyos@r4:~$