Hi Gabriele Trombetta •
As mentioned by AirGordon before, is possible and supported, while Azure AppGateway has te features to act as WAF. You maybe could check this option ARO+AzureFrontdoor.
https://learn.microsoft.com/en-us/azure/openshift/howto-secure-openshift-with-front-door
And to share more insights for APPGW below you can find some interesting links to you reading.
From BlackBelt team - ARO expose APPGW
https://www.redhat.com/en/blog/a-guide-to-controller-ingress-for-azure-red-hat-openshift