At the moment ArcGIS Enterprise honors only the X-Forwarded-Host header, which is used to provide answers with the right URI's. Azure Application Gateway does not set de X-Forwarded-Host head but a similar one: X-Original-Host (much of same with Amazon services).
ArcGIS Enterprise being able to act on more of this type of headers will provide customers with a better out-of-the-box experience where everything works from the beginning, having not to get in discussions with IT about what has to set or why has to be set or etc.