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C# OWIN User.Identity not loaded

I used Regular Web App OWN sample from Auth0. I changed the response code to ResponseType = OpenIdConnectResponseType.Code as PingId restricted the implicit grant.
Ping Server validates the grants and provides successful token back to callback URL but it is not loaded with User.Identity. Callbacks URL was allowed in Ping but it throws 404 on client on sample app because it is not valid URI for sample app. Then I changed callback URL to root - it works fine but User.Identity is not loaded. It works fine with ASP.NET core samples but it is problem with below sample project. Could anyone please help?

Source Path : https://auth0.com/docs/quickstart/webapp/aspnet-owin/01-login