MOD_SECURITY not working on Nginx server

I am using CWPpro version: 0.9.8.1025.

MOD_SECURITY not working with following test:

1-install CWP with default Apache server, MOD_SECURITY test works (403 page)

2-select nginx only server, MOD_SECURITY test NOT works (404 page)

3-select Nginx & Varnish & Apache server, MOD_SECURITY test NOT works (404 page)

4-select Apache only server, MOD_SECURITY test works (403 page)

Please advise.