Great question! For a connection named ext-saml-idp-a for example, the service provider Entity ID would be urn:auth0:{auth0_domain}:ext-saml-idp-a as you mentioned earlier (urn:auth0:myorg:con) so for the URL I believe it should be something like "https://{auth0_domain}.auth0.com/saml/ext-saml-idp-a". Let me double check on this.
Also, please note I did not mention earlier but when we make the patch for the options you’ll need to provide any pre-existing options (if any) since they’ll get cleared and would be an incorrectly configured connection at that point.