The ‘givenname’ and ‘surname’ are missing from the SSO attributes

Do the following:

Applications → Select Application that has SSO configures → Addons → SAML 2 → Settings

{
  ...all your settings
  "mappings": {
    "user_id": "http://schemas.xmlsoap.org/ws/2005/05/identity/claims/nameidentifier",
    "email": "http://schemas.xmlsoap.org/ws/2005/05/identity/claims/emailaddress",
    "name": "http://schemas.xmlsoap.org/ws/2005/05/identity/claims/givenname",
    "nickname": "http://schemas.xmlsoap.org/ws/2005/05/identity/claims/surname"
  }
}

See that name and nickname are mapped to givenname (http://schemas.xmlsoap.org/ws/2005/05/identity/claims/givenname) and surname (http://schemas.xmlsoap.org/ws/2005/05/identity/claims/surname).

You can map any property from user profile to these. For SSO to work we need these properties in our auth0 user, and map them respectively.