The key would be to have one single identy provider. The ADFS server could be used for this. It would handle the login proces for the Mendix side as for the other services you want to use. You can then use the SAML module to handle all the login. Going to another application can then be as simple as a redirect to the right login page.
You can indead just redirect to the SSO landing page of the other application. This will trigger that the user is again validated against the Identiy server. And since there already is a session it will continue.