Hello @Roy Kim (Azure MVP)
I'm glad that you were able to resolve your issue and thank you for posting your solution so that others experiencing the same thing can easily reference this!
Since the Microsoft Q&A community has a policy that "The question author cannot accept their own answer. They can only accept answers by others", I'll repost your solution.
Please click "Accept" the answer as original posters help the community find answers faster by identifying the correct answer.
Issue: Configuring Azure App Gateway v2 Backend Setting and Probe with ADFS VM server
Resolution: I have resolved by setting the FQDN at the health probe. That is subdomain.domain.com. This FQDN is a DNS record in a public dns zone.
Please accept an answer if correct. Original posters help the community find answers faster by identifying the correct answer. Here is how.