Hi @jf.hei
Welcome to the Auth0 Community!
Usually, the steps outlined in the documentation that you mentioned ( linking it again for visibility to others ) should suffice in clearing the error that you encounter, but there seems to be something missing here. Identifier First is the way to go when setting up HRD, the other ones should not work out-of-the-box.
Looking at your current configuration, everything seems to be set up correctly, the only thing that I noticed at this moment was that, for the SPA Application, you do not have enabled the Connection that has the Home Realm Discovery enabled.
Let us know if the issue is still ongoing on your end.
Have a great one!
Gerald