Issue with auth0 to share authentication across subdomain with different database

I am implementing Auth0 for wordpress,We have configured the auth0 for the main site ex: successfully and after logging in we are moving to the subdomain with a different database.The subdomain site is not able to understand the user access in the ultimate member plugin of wordpress the menus are not rendered as expected.Only the access to everyone menus are displayed not the access to particular role.The loggedin user menus are not displayed as the databases are different.Is this a wordpress ultimate member plugin issue or do we need to enable multi site for the wordpress to extend the functionality to subdomain to access user information.

Note: Even though I have configured Auth0 to use single main database for login.The sub-domain accesses a different database in the wp-config.php. Please guide us what we are doing wrong for accessing menus in the subdomain?