I am looking to implement SSO with Kayako. Has anyone done this before. I want my customers to be able to sign into the support system with the same login as our other stuff.
The documentation you linked to describes a mostly proprietary protocol to implement SSO; it makes use of JWT which is an open standard, but the requirements on the claims contained within the token and also the exact steps and parameters used in the flow still make this proprietary. At this time the Auth0 service supports acting as a SSO identity provider using standard authentication protocols like OpenID Connect/OAuth 2.0, WS-Federation and SAML.
This means that you can’t integrate Auth0 directly with Kayako unless you implement a bridge that translates from one of the standard protocols that Auth0 supports into the Kayako expected protocol.
Having said that some research lead me to found this Kayako module (maintained by Kayako) that provides SAML Single Sign-On integration for Kayako version 4.50 which means that based on the documentation and assuming this module is present you would be allowed to configure SAML SSO directly with Auth0.
Check the reference documentation on how to configure Auth0 as a SAML identity provider: