I believe this is a token lifetime issue. The issued token includes your user perms / roles. As long as the token is valid (token lifetime) your app will not go back to Auth0. When the token expires or the user logs out / in a new token will be issued with the updated info.
I don’t believe there is any way around this unless you rely on a proxy that can act as gatekeeper. E.g., AWS has oauth enabled load balancers now … you could put your apps behind such a load balancer and have the LB check Auth0 for updates. In theory. I haven’t tried it.