Azure AD with SAML Auth Reject Screen

Hey everyone,

We are trying to use Azure AD as identity provider but we are facing an issue when the user is removed from an Enterprise application.
Ideally, we would like Auth0 to be informed when a user is no longer assigned to an Azure Enterprise App so that we can continue our flow on our end (in this case, user account cleanup in a different db), but we are seeing just a block screen from Microsoft saying that Access is blocked without a redirect back to Auth0.

Has anyone faced this issue and has managed to bypass the Microsoft block screen?

Forgot to mention, this is implemented using a SAML connection