Why do you need an Azure Firewall infront of Application Gateway with WAF enabled? Is there any specific use case that you have for this setup ?
When you try to access Azure Firewall's IP and DNATing to Application Gateway, the source IP of the client is masked and Application Gateway sees the traffic coming from Azure Firewall.
I don't see any need for the Firewall as you have WAF enabled on Application Gateway. With only WAF+Application gateway you can easily achieve this scenario.
For now, you will not be able to achieve your ask with Firewall + WAF+AppGW. Try to remove Firewall from the picture to unblock yourself and submit a feature request to Firewall team to add the Source IP of client as a separate header to forward to destination.
Regards,
Karthik Srinivas