Invalid_request: IdP-Initiated login is not enabled for connection "Username-Password-Authentication"

I was trying to implement SSO for my applications.
Tried to setup SAML SSO with Auth0 by following this document. Test SAML SSO with Auth0 as Service Provider and Identity Provider

Followed the exact same process in setting up, and tried many rounds.
But it just doesn’t work.

When I click on try in SAML, I just get this

I set up two applications in SP tenant to connect to the SAML.
Both applications can login, but it is login to the local database, instead of the IdP tenant database.
So I guess the SSO is not setup.

Can please guide me to solve the issue.
Tried googling for solution, but don’t find any.

Thanks in advance.