Hi @georgea and welcome to the Auth0 Community! 
Would you mind sending me your tenant in a DM so I can have a closer look at your setup? Without knowing too much about your scenario this does sound like possible expected behavior. However this is something that perhaps Rules could help with but without having a better idea I can’t say for certain how viable that may be. I’m also going to link to another community article that goes a bit into connection strategies and the types of identifiers they require.
Best Regards,
Colin