Implement Auth0 as IDP and Salesforce as Service provider

I am trying to implement Sp- initiated SAML SSO where Salesforce is my service provider and Auth0 will act as IDP. Auth0 will have the users (not connected to any external database, but rather import all users to Auth0).

I have followed this link to setup SSO integration-

However I am getting an error- invalid_request : The SAML Request AssertionConsumerServiceURL is invalid:

The ACSUrl is correct, because I have tried it out in other environments (MS Azure) and it has worked correctly. I think I may be missing some step, the tutorial document does not show to use Auth0 as IDP.

Did you also check the other docs regarding Auth0 as SAML IdP:

Maybe you find some additional info in there.