I use Federation Id to integrate with Salesforce and the error message occurs while logging to Salesforce:
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I confess that I never configured a Salesforce SSO integration, but based on the error message the issue may be occurring due to incorrect mapping configuration in your Auth0 account. When configuring Auth0 as a SAML identity provider the actual configuration needs may vary according to the service provider requirements; for example, it’s normal for a service provider to require certain attributes to be present in the SAML assertion sent to them.
You can customize the SAML assertion sent to the service provider either in the SAML addon you enabled in the client application or through a custom rule. See the reference documentation for additional information about this customization.