Could you try with the option Use Name ID? With that option I got it to work. On the Azure side they can define what is put in there. So use something you have on your side to do the mapping.
I recognize this issue, pretty sure I have run into exactly the same issue in the past.
I am pretty sure I was working on a modified SAML module anyway at the time so it was an easy fix to parse the claims ourselves and handle them as needed.
As the relevant standards (what are they even, I honestly don't know exactly) are quite complex I also have no idea if this is the result of a configuration error on the Azure side or a bug on the Mendix side. But since you are not the first to run into this it seems like you should be able to at least override the configuration manually on the Mendix side.
Bob, did you solve this? We are experiencing the same problem with Azure AD. Using the metadata of our ADFS server on the same app works as expected. The ClaimsTypeRequested seems to be a non-standard information according to google.
We can see the claim types listed in the XML provided by Azure AD but the SAML module fails to load them. Made a ticket to support: #88011