Advertised routes
The on-premises side advertises prefixes saying "this destination is here" to Azure. Azure likewise advertises VNet prefixes to the peer.
BGP is a mechanism where routers automatically exchange routes. Many routes appearing in Azure's effective routes are learned from ExpressRoute or the on-premises side.
First explain the flow with a diagram, then supplement only the key points in text. For those unfamiliar with networking, showing where traffic flows before terminology is effective.
The on-premises side advertises prefixes saying "this destination is here" to Azure. Azure likewise advertises VNet prefixes to the peer.
Rather than manually entering all effective routes into routers, exchange necessary routes via BGP and filter out unnecessary ones.