The previous answer is incorrect. All Appliances contain the license for 1 VS. So yes you can do this.
We have a couple of machines running like this, the machines itself as a gateway with VSX turned on and additional a VS on top of it. Sometimes you just need to do with the hardware you have and still handle different traffic streams and this is a way to do it.
Some caveats, when you build the VSX machine it is hard to change management IP, so make sure to set it up with the right IP information to prevent complicating things.
There is no "convert to" option so when it is an existing GW.
You will have to rebuild and one of the first steps is establish SIC, so you cannot prebuild in Dashboard and later create the SIC.
Regards, Maarten