I would also like to add a vote for FCGI multiplexing.

There is no obligation for backends, since non-implementing backends can indicate FCGI_CANT_MPX_CONN in response to a FCGI_GET_VALUES request by nginx. The other poster has already mentioned FCGI_ABORT_REQUEST and dropping response packets from dangling requests.

My scenario is that I have a variety of requests: some take a while, but others are a quick URL rewrite culminating in a X-Accel-Redirect. This rewrite involves complicated logic which is part of my overall backend application., which I would rather not factor out and rewrite into a nginx module The actual computation for the URL rewrite is miniscule compared to the overhead of opening/closing a TCP connection, so FCGI request multiplexing would be of great help here.

If the overhead of a multiplexed FCGI request starts to approach doing the work directly in an nginx module, it would give a valuable alternative to writing modules. This would avoid the pitfalls of writing modules (code refactoring, rewriting in C, jeopardizing nginx worker process, etc.).