In using a custom domain <login.sample_domain.com>, accessing the https://login.sample_domain.com redirects to the homepage of Auth0. Is there a way to change the default redirection URL or at least, restrict direct access to the base URL?
This is something that is not possible to configure at the moment, but I can let you know that this is already being tracked in our backlog because, like you expressed, that redirect which made sense when applied to https://{tenant}.auth0.com does not provide a good experience when applied to the configured custom domain.
Got it, thanks. This also applies to the default domain in Client > Settings right?
The Domain field available in client settings is just informational and something that was there even before custom domain; if you configure a custom domain then although that setting still shows your tenant domain the application can also use your custom domain to interact with the service.