Yes this would fail as the address object FMG_ADDRESS_OBJECT doesn't yet exist in the FortiGate and you're trying to reference it in the script.
Two quick solutions:
1. Use SDWAN templates to configure SDWAN. When you reference an address object there it will add it to the FortiGate automatically when it pushes out the config
2. Create the address object in the script before pushing out the SDWAN config:
config firewall address
set subnet 172.18.1.1 255.255.255.255
config system sdwan
set name "RULE1"
set mode sla
set dst "FMG_ADDRESS_OBJECT"
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