Hi,
If you add the Fortigate as the backend pool of the Application Gateway, then Fortigate needs to act as another reverse proxy. There are timeouts in Application gateway where few flows may get timed out and cause issues.
When you have Application gateway with WAF why do you need to send the traffic via another firewall which introduces another hop and also does the same security functionality as that of AppGw.
I would suggest you to redesign your architecture, but if you want to use Fortigate, then you need to fall back to the AppGW V1 SKU and use AKS as the backend where you can add UDR on the gateway subnet and route the traffic via Fortigate. But adding UDR on the gateway subnet is not supported by AppGW V2 SKU.