Both Nginx and Azure Application Gateway act as a reverse proxy with Layer 7 load‑balancing features plus a WAF to ensure strong protection against common web vulnerabilities and exploits.
Application Gateway supports autoscaling, SSL offloading, and end-to-end SSL, a web application firewall (WAF), cookie-based session affinity, URL path-based routing, multisite hosting, redirection, rewrite HTTP headers and other features. For a full list of supported features, see Introduction to Application Gateway. Also, you're aware of application gateway limits.
Whereas Nginx provides better URL rewriting and redirecting features than Application gateway. See the feedback. With Nginx, you can rewrite the URL of a request before passing it to a backend server. This means you can alter the location of files or request paths without modifying the URL advertised to clients. You can also redirect requests.
In my opinion, if you just want to simply use for load balancing without complex rewriting the URL, it's enough to use Azure Application Gateway. For complex use rewrite cases, you can plus Nginx. Read create Nginx rewrite rules and more details here.