I tested my localhost application against your Auth0 tenant and clientID (put your values in my auth_config.json). And in fact, I then also get that problem. So it really seems to be related to the tenant.
Then, I went ahead and tested it with a different tenant of mine (a free tenant in the US region, instead of my default Enterprise one in EU), and I get that same behaviour like with yours there as well.
So, it seems to be something with the different tenants, no idea why though yet. Will try to do some more digging tomorrow.