I can't find any information around this except an open issue (https://github.com/Tampermonkey/tampermonkey/issues/397), you got any links?

As I understand issue linked above, they want to support it but currently does not, in official releases. What's supported is catching all requests in a page, but that's after the contentscript has been applied to the page, which means what arkadiyt wrote would still be accurate.