To inspect connections for malicious requests on an Azure Application Gateway, the Azure Web Application Firewall (WAF) must be enabled and configured. WAF is a feature integrated with the Application Gateway that provides centralized, layer 7 protection for web applications against common exploits and vulnerabilities. By associating a WAF policy with the Application Gateway's HTTP listener and setting the mode to "Prevention" or "Detection," it inspects inbound web traffic for threats like SQL injection and cross-site scripting based on the OWASP Core Rule Set. This directly fulfills the requirement to inspect for malicious requests.

1. Microsoft Documentation: "What is Azure Web Application Firewall on Azure Application Gateway?". Azure Documentation, Web Application Firewall. Retrieved from https://learn.microsoft.com/en-us/azure/web-application-firewall/ag/ag-overview. In the "Overview" section, it states, "Azure Web Application Firewall (WAF) on Azure Application Gateway provides centralized protection of your web applications from common exploits and vulnerabilities."

2. Microsoft Documentation: "Tutorial: Create an application gateway with a Web Application Firewall using the Azure portal". Azure Documentation, Application Gateway. Retrieved from https://learn.microsoft.com/en-us/azure/web-application-firewall/ag/application-gateway-web-application-firewall-portal. Step 1 of the "Create a WAF policy" section details the process of creating and configuring the WAF for an Application Gateway.

3. MIT OpenCourseWare: "6.858 Computer Systems Security, Fall 2014". Massachusetts Institute of Technology. Retrieved from https://ocw.mit.edu/courses/6-858-computer-systems-security-fall-2014/. Lecture 4, "Web Security," discusses common web application vulnerabilities (e.g., Cross-Site Scripting, SQL injection) that Web Application Firewalls are specifically designed to detect and prevent.