Hi!
Sorry for the long delay, lost the track of this thread 
My previous answer was wrong, you do have to redirect to logout the user properly (Log Users Out of Auth0), the way to do it using auth0.js is with this method: Auth0.js v9 Reference
It’s stated in those docs but I’ll highlight that you have to register an Allowed Logout URL in the dashboard either in your specific Application or globally in the tenant settings.
If you want to avoid the redirect you could try calling the logout endpoint in an iframe (inside your app) but bear in mind that this would be a workaround and is not supported in the SDK.
Let me know if this is helpful and sorry again for the delay!
Thanks!