I’ve found this to be true as well. From what I can tell, you’d need to build you own custom UI, as well make the requests to Auth0 endpoints and process the results yourself. The Auth0.OidcClient seems to only use the SFSafariViewController on iOS and the CustomTabs control on Android. This is not uncommon. Even the Xamarin.Auth library uses these. However, you can build your own UI and make calls against the Auth0 endpoints yourself. I believe all those endpoint URIs can be found in Advanced Settings, under the Endpoints tab for your Auth0 application.
It really would be nice for Auth0’s client to have some kind of native UI for Xamarin, though.