Hi Dev S Thanks for reaching out. It's not possible to configure each gateway location to use a different application insights. App Insights and other diagnostic configuration is stored/retrieved via "Management Plane" component of APIM, which is only hosted in Primary region. In fact, if Primary region has a complete outage, you won't be able to change any configuration in your API Management service since management plane won't be available.
Do let me know if you have any queries.
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