I raised an issue on the auth0-react project and a developer on the project pointed out a critical Auth0 cookie was not being transferred on redirect due to my browser settings: `cookieDomain` doesn't seem to share auth between (sub)domains · Issue #523 · auth0/auth0-react · GitHub
Switching my Chrome cookie settings from “Block third-party cookies” to “Allow all cookies” fixed my issues and everything is now working as expected.