I'm not sure why not supported, but there's a long-standing feature request to add Gravatar support to Confluence here, which you can vote on:
This one is also linked:
It's also worth being aware of the roll-out of Atlassian account to JIRA/Confluence Cloud. This results in one set of profile details used across all Cloud products and uses Gravatar by default when a user has not uploaded an avatar. There's a page about the roll-out status here.
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