Thanks for your response. The support checked the issue and confirmed that using RegularExpression in a HTTP header matcher is currently not supported.
Some background: RegularExpression for HttpHeaderMatch in Kubernetes Gateway API is implementation-specific (see Gatway API docs). While the Microsoft docs suggest that it has been implemented (see Microsoft docs), it in fact has not (yet).I would suggest to put this on the roadmap, this is a very powerful/useful feature.