Alexander Strøksnes Thanks for posting your question in Microsoft Q&A. For managed gateway, Application Insights is the preferred APM solution which also moves towards OpenTelemetry and check out doc: https://learn.microsoft.com/en-us/azure/azure-monitor/app/opentelemetry-overview for more details.
However, there is no connector available for AppDynamics in APIM and other azure services that are supported are listed here. If you are interested in this feature. suggest you submit feedback directly to the product team via https://aka.ms/apimwish and others with similar interest can upvote it too. This will help our product team prioritize the features. I hope this helps and let me know if you have any questions.