When using Connection Type as ADFS, Is there a possibility that we can also change the domain password from the application using Auth0 and Auth0 just authenticate toward the ADFS if the domain credentials are correct.
To my knowledge that would be a no; when using the ADFS connection the authentication is performed through the WS-Federation protocol which does not have any procedure for changing passwords. In conclusion, even though ADFS itself can be configured to allow the change password by end-users any use of this by the client application would still need to be done directly from the client application to the ADFS (not through Auth0).