I use Azure Application Gateway. When I review the documents, I only see round-robin distribution of incoming traffic, cookie-based session affinity, URL path-based routing for Application Load Balancer. Is there any way to use Least Connection for that. This is available on AWS, but I couldn't see it on Azure.
Yes, you can do it via https://resources.azure.com/ You should open that resource; find your RG and APP GW and you will see setting routingmethod -> roundrobin and you can change it to leastresponsetime