Compile nginx with ngx_http_auth_request_module
or provide a way to use nginx-full.
Thank you for your input! We will consider this functionality in upcoming releases, if it will be popular.
Everyone, please continue voting for this feature if you consider it important.
And you can use your own compiled nginx with method described in https://talk.plesk.com/threads/how-to-compile-nginx-with-additional-modules-pagespeed-cache_purge-headers-more-and-others.340640/