I have the exact same issue at the moment and will go the way to trigger a password change via https://auth0.com/docs/connections/database/password-change#use-the-authentication-api. The question here is why can’t I specify a redirect url here? With this solution the user will just receive an email with a password reset link and after he set/changed his password he is stuck on the lock widget.
An alternative would have been Auth0 Management API v2 where you can specify a recirect url, but here no email is triggered you just get the password reset link in the response.
Both methods are essentially useless for the case of letting the user initially set a password after bulk import.