We are trying to enable HTTP compression (gzip) and HTTP 304 Caching via ETags on Azure CDN. We already discovered an issue with enabling Azure
It is important to know if you are specifying If-None-Match or If-Match? Based on my experience, most users rely on modification date and GET If-Modified-Since.
ETag is stronger if you need to a cache flag for a given entity with multiple encodings, etc.
For your requirement please use Modified/If-Modified-Since and you don't need variable caching based off encodings and this should work.
More info is here: HttpWebResponse LastModified