Hi @bear bear
apologize for any inconvenience caused on this.
I'm glad that you were able to resolve your issue and thank you for posting your solution so that others experiencing the same thing can easily reference this! Since the Microsoft Q&A community has a policy that "The question author cannot accept their own answer. They can only accept answers by others ", I'll repost your solution in case you'd like to accept the answer.
Ask: App Services incorrectly refuse setting SSL certificates
Solution: After some research, it seems the Azure Web Apps only allow the wildcard certificate to cover one level of the subdomains, i.e., xxx.example.com, yyy.example.com, but not aaa.bbb.example.com
Uploading another wildcard certificate which covers *.staging.example.com will enable domains such as auth.staging.example.com.
The behaviors is expected, as explained in https://serverfault.com/questions/104160/wildcard-ssl-certificate-for-second-level-subdomain
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