After testing this thoroughly, I found that the auth0.domain in Rules references the domain in the following format YOUR_DOMAIN.REGION.auth0.com.
Whereas the event.request.hostname in Actions references the domain in the YOUR_DOMAIN.auth0.com format.
Since the domain expects the URL with the region (i.e, my-dev.us.auth0.com), you need to use the secrets in Actions to reference the correct domain URL.
Hoped this helps!
Please let me know if you have any further questions.