Got it. This is a fun one 
It’s because you start at http://www.stillproud.com, but Auth0 redirects to https://www.stillproud.com. The state is stored in localStorage and that’s not the same for http and https. Try redirecting all your traffic to https (a good idea anyway) and you should be fine. That’s also why your second attempt works: you’re already on the https site by then.