Azure Application Insights integration

In order to implement telemetry correlation, we need a a custom header to be added to our microservice requests, but the requests are currently being rejected by the server:

Access to XMLHttpRequest has been blocked by CORS policy: Request header field request-id is not allowed by Access-Control-Allow-Headers in preflight response.

Those requests are made by a custom client we developed (extending the device management template) and will call the endpoints of our own custom microservices deployed on our tenants hosted by you. We need to integrate our microservices with Azure Application Insights and this custom header is mandatory.

The request-id header is something required by Microsoft Azure Application Insights to make it work in your servers: https://docs.microsoft.com/en-us/azure/azure-monitor/app/correlation

This idea comes from a support incident: SI-450822