Redirecting to <app url>/SSO/logout does the trick.
I have created an extra logout button that performs the redirect via the URLRedirector widget. Both logout buttons have conditional visibility, based on a boolean on an object that is created during login.
The major hurdle here is that the Mendix app does not have a way to invalidate the current session for your ADFS. The default sign out button ends the Mendix session, but doesn't do anything to the ADFS SAML token that a user gets when the successfully log into your SSO. Therefore, when a user goes to the Mendix app again, they are re-routed to the SSO authentication which validates that a token is there and they are automatically logged in. In order to really log a user out, you will need to send a 'signout request' to your ADFS. This is typically a URL that you can link to from a Mendix Microflow or button that will kill the session.
Looking at the ADFS forum a bit, it appears that you can specify a redirect URL for your log out request, in which case you can send the user to the <yourMEndixApp>/SSO/ link.
Could you share details on how you differed those buttons?