Is "admin approval" expected when setting up Azure-Ad?

I’m new to Auth0 and I’ve tried to find information on this, forgive me if it’s clear.

We have an enterprise connection set up with our validated Azure AD account. We were expected to then let our users “Continue with Microsoft” to sign in. We thought it was working and then there was a flow we haven’t seen before asking for admin approval.

Question: Is this to be expected? Will it happen only for the 1st user and we work with their IT to approve? If it’s not normal, where have we gone wrong?

Context: Our users are all business customers. And yes, some of them will have their own enterprise connection, which we do separate from this, and it works fine.

I have the same issue.