According to the specification FastCGI supports responders, filters and authorizers. Nginx surely supports responders. I'm not sure, if it supports filters, but it definitely doesn't support authorizers. Is there a architectural reason behind it, was it simply forgotten, or wasn't it requested?
We are interested in this feature! Unfortunately we don't have any C knowledge. FastCGI authorizers are necessary if you want to use nginx together with shibboleth.

Cheers,
-Tom