[Updated] On March 23rd 2018, Microsoft announced the support for application using websockets, Qlik Sense on Azure AD Application Proxy. This feature is still in Public Preview. At least we know my article below is no longer helpful.
If you are familiar with Web Application Proxy in Windows Server 2012/2016, Azure AD Application Proxy should not be your surprise. Microsoft builds it to allow you to securely set up a remote access to your application which you do not want to publish over the Internet. It also helps you achieve single sign-on (SSO) as well. This is fully aligned with “mobile-first, cloud first” strategy when business users have the ability to securely access their corporate applications hosted on cloud from their mobile devices in anywhere.