I don’t have any ideas here. I’d suggest creating a new application in Auth0, enable only for the Azure AD connection, and then trying that Client ID in your app code. Then start making the application more like your existing one to track down exactly what is going on.
You should not add a connection parameter. If you do, it will ONLY show that connection.
@dale is the connection enabled for the application? If so, follow the same debugging steps covered here for @valentin.sauer1
John