Azure App Service is a service used to create and deploy scalable, mission-critical web apps.
The problem was from my side because of misunderstanding the documentation.
I configure to block all incoming traffic except traffic coming from our VNet, we required that the request go through the Azure WAF (through the Azure application gateway).
When a configured the App Service Managed Certificates, it created a CNAME record in our Azure DNS zone, but this record was redirecting people to my-app.azurewebsites.net which in the end is the public IP address of the webapp (remind that all incoming traffic outside the VNet is block), so i deleted the CNAME record and created a A record pointing to the public IP address of our Azure Application Gateway, and everything work.
I didn't understand that App Service Managed Certificates only work with CNAME record and not A record, so to fix our problem, we removed the HTTPS only on our webapp and allow HTTP traffic between the AG and our webapp