Please note that this is not going to work with the default nginx install that comes with CPW install.
I had to follow this manual "How to enable TLS 1.3 in CWP Nginx reverse proxy" to get brotli to work, otherwise it will fail.
This is something that CWP dev needs to fix, also this How To Enabling Brotli Compression on Nginx from CWP WiKi will not work at all.
I love CWP but this, it took me 5 hours to figure this our 😉