I asked the same question to Mendix support a couple of weeks ago, here is the response. I am asking for an update
Thank you for contacting Mendix Support.
Unfortunately, SAML module not available for Mendix 9 yet.
The team is working in several improvements that we will release for Mendix 7 and 8 during this and next week. After that releases they will work to implemented in the SAML module for Mendix 9.
I do not have a specific ETA but the information that I had is, it will be release during this month.
I suggest to put this ticket on hold and come back to you as soon I have more information about the SAML module.
I did a test migration to Mx 9 and I could upgrade the module without errors. So you might want to export the module in Mx8 and then import the module in Mx9. Have not tried yet if all the functionality does work but as the module has no errors it probably works. And indeed a new version of the module is on its way end should be available at the end of may 2021.