My guess is you forgot to trigger the After startup microflow that's in the SAML module's USE ME folder in your application start up microflow.
If you are getting the message: "SAML_ SSO: SAML SSO RequestHandler has been added to path 'SSO/' " it does mean that the module starts. This is triggered from the after startup event.
As long as you don't see any errors in the SAML_SSO lognode after that you should be fine.
When the SAML module starts, but you still get a 404 message it is likely that you rewriter configuration is not setup correctly.
You need to make sure SSO/ is added as a url rewrite (keep in mind url can be case-sensitive, the module assumes upper case)
MxCloud: Open environment details -> Network Tab -> Request Handlers -> Add SSO (identical settings as /ws/ )
The default rewrite rules are only for webservice, rest, odata and deeplink (which are the most common). If you want logic (mf or Java) behind any other url you'd need to add that in the request handler configuration.