Thank you for your patience here. I got a response back from the team.
Currently Azure Application Gateway does not support server-sent events (SSE) but the support will be added in future, currently we do not have an ETA.
Although we have some validations you may try, please let me know if you are interested in trying the changes out and providing feedback if it meets your requirements.
Hope this helps! Please let me know if you have any additional questions. Thank you!
Please "Accept the answer" if the information helped you. This will help us and others in the community as well.