Hi @api-nick,
Welcome to the Community!
I would suggested using the generic SAML connector instead of the Ping Federate connector in your use case. This is how we (where I work) connect partners, and how Auth0 recommended connecting them. Going on memory but I think the actual Ping connection type is meant for when you are connecting your own corporate Ping environment rather than a 3rd party.
On the instructional page, make sure you are logged in. You should be able to just click the log in button and the page should reload with your data.
Hope that helps,
Mark