It's not that GSX doesn't support this.
In fact, GSX supports this, in FSX and P3D, because in FSX or P3D, when you keep a key pressed, you are getting called back by Simconnect multiple times for as long you keep the key pressed, so auto-repeat is inherent, while in MSFS, if you keep a key pressed, you only get called once, until you raise the key and press it again.