Hello @Ranjithukumar ,
Thanks for reaching out to Microsoft Q and A platform.
Could you please provide the information on where do you see that the request header not seen?
The request header is set post Application Gateway forward the request to the backend VM's.
Could you please take a fiddler behind the VM, to find out the request header? The response would be seen on the Client machine. But changes to the Request Header would be seen behind the application gateway.
Any application-level logs would also help to track the Http request.
https://learn.microsoft.com/en-us/azure/application-gateway/rewrite-http-headers-url#rewrite-actions
Regards, Priya Kumar