What is Auth0 storing with doing a SAML connection to Azure AD

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We are considering using Auth0 as our CIAM going forward. We have a client in Canada that insists that any confidential data of theirs is stored on Canadian soil. We want to integrate with their Azure AD through SAML in Auth0. Does Auth0 in any way cache or store user data or is it simply a “pass through”? Thanks in advance

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