Welcome to the Microsoft Q&A Platform. Thank you for reaching out & I hope you are doing well.
I understand that you would like to know what would happen if you were to reach the Application gateway with undocumented protocols. (especially, MQTT).
I got a confirmation from our Internal Team and they informed us that you will receive a 400 HTTP Status Code.
As stated by @msrini-MSFT , the TCP connection/handshake will pass through but the Application layer traffic will not, resulting in 400.
- 400 - Bad Request happens when Non-HTTP / HTTPS traffic is initiated to an application gateway with an HTTP or HTTPS listener.
- https://learn.microsoft.com/en-us/azure/application-gateway/http-response-codes#400--bad-request
Should you be interested in using MQTT via AppGW, then we can sign you up for TLS/TCP proxy feature on a limited preview with the support incident you have raised.
Thanks for your continued contribution on Q&A and appreciate much for taking the time to share your feedback.
Cheers,
Kapil