I've been struggling to get Azure AD application proxy function well in our environment. I can across this Blog post which seems to differ from the MSFT documentation I have been reading. (https://docs.microsoft.com/en-us/azure/active-directory/manage-apps/application-proxy-wildcard). This documentation states that a DNS entry and a certificate for the custom domain would be need to do the wildcarding you outline above. Your approach is vastly more simple. Can you comment why there would differences between your post and the other documentation?
Microsoft