I have this exact same problem and nowhere tells you how to actually get this to work. I have two applications, both of which have Auth0 working on them fine, they just don’t recognise that you’ve already logged into the other one and hence can’t give you single sign on. Both are operating from the same Au0 domain. Every time this subject is listed in the community, you’re just given links to an explanation of what SSO is, not how to actually set it up.
Horrendously infuriating, particularly if you’re not a programmer with 20 years experience.