It looks like you had opened the Applications section of the SSO Dashboard, but in the instructions, it states to click Settings > Create App.
Because of that, I recommend that you open the Settings section by clicking the dropdown menu below your tenant name. On that page, you should see the Create App button.
Please let us know if you have any additional questions!
That got me past that issue. Now I have two applications (I believe) setup in the my SSO Dashboard app. When I press the triange (play) button, the app displays (good!). But when I try to access the actual dashboard page (that a user would use), I seem to get this error.
However, after testing further and checking the SSO Dashboard Extension application on my tenant, I noticed that the correct URL should have this format instead:
https://{yourTenant}.YOUR_REGION_KEY.webtask.run/auth0-sso-dashboard/admins/login
and
I have tested this URL format and was able to get to the login page successfully. Considering that, could you please give it a try and let me know how it goes for you?