I think you mixup two things here. Logging out of the Mendix app and logging out of Azure. That last one is not possible since you never did a login in Azure. For a SAML request you do need to login to Azure but it does not create a session. Azure only gives permission to use an application. And if you want a user to log out to Menix see the documentation here: https://docs.mendix.com/appstore/modules/saml
DefaultLogoutPage – Removing the sign-out button is recommended, but if you choose to keep it, the end-user will be redirected to a page. You can choose where the end-user is redirected to (for example, back to /SSO/ or your login.html page). Every user signed in via SAML is redirected to this location when they are logged out.