Hi there. Editing my comment here to help any fellow WP users:
The script that the auth0 plugin adds into your Authentication>Custom Database>User Login is not correct, you HAVE to replace it with the one that auth0 prescribes
The IP addresses underneath the Authentication>Custom Database>User Login box have to be pasted into your Auth0 WP login in the Migration IP Whitelest of the Advanced Tag
MOST IMPORTANTLY - you cannot have the auth database AND the custom database be activated. YOu should deactivate the Userbane Password authentication database.
These 3 steps successfully accomplished seamless migration for us after weeks of struggling. A big thanks to Colin from the support team who solved this for us.
Hope this helps you guys. Good Luck!