Hi. Thanks for reaching out to community.
The error means that the users from other domain cannot be identified by your Azure AD. Usually orgs have their enterprise users source enabled only for their own company domain. If you need to allow other orgs to access through Azure (provided they are an allied/child company which is associated with the parent company), required changes need to be done at MS Azure AD end. That said, this error is not related to Auth0
As a workaround, you can setup these users through any database connections enabling them to use username and password. Thanks !!
Regards,
Gautham