Azure Application Insights request header clashes with Auth0

Yesterday I setup Azure Application Insights for my Angular frontend which also uses Auth0. To have Application Insights correctly connect my frontend with my backend, I set the option ‘enableCorsCorrelation’. This adds a header to every outgoing request with an id identifying the request.
Now, this header is also added to every request to Auth0. These requests now fail because the header is not allowed by Auth0 CORS. Has someone run into this issue? If so, is there a solution on the side of Auth0?