NGINX Plus health_check doesn't support $proxy_host

It seems like NGINX Plus's health_check directive doesn't support variable hosts. (I'm on R24)

We can see here that the default is $proxy_host:

proxy_set_header Host       $proxy_host;

However, when using health_check and setting the Host header via a variable, it doesn't respect the context within the location block.

server {
  listen 8080;
  server_name localhost;
  
  set $proxy_host $host;
  proxy_set_header Host $proxy_host;

  location /api/notworking {
    # Set host for just this block only
    set $proxy_host "override-api-not-working.host.com";

    # proxy_pass gets correct "Host: override-api-not-working.host.com"
    # so below works perfectly fine
    proxy_pass http://localhost:8000;

    # !!! health_check does not get correct host here!!!
    health_check uri=/__health?from=nginx passes=3 interval=5s fails=3;
  }
}

 However it works just fine if you set the host via proxy_set_header

server {
  listen 8080;
  server_name localhost;
  
  set $proxy_host $host;
  proxy_set_header Host $proxy_host;

  location /api/working {
    # Set host for just this block only
    proxy_set_header Host "override-api-working.host.com";

    # proxy_pass gets correct "Host: override-api-working.host.com"
    # so below works perfectly fine
    proxy_pass http://localhost:8000;

    # health_check gets correct "Host: override-api-working.host.com"
    health_check uri=/__health?from=nginx passes=3 interval=5s fails=3;
  }
}