This would be the point that I would start looking at the network to see if the SSO request and response are processed. You can have a look in Chrome using the Development Tools (<Ctrl>+<Shift>+<i>) tab "Network" or using Wireshark (A network sniffer).
You can test if it is a network problem by running on a workstation without network restrictions. For example, using AWS Workspaces: https://aws.amazon.com/workspaces/. Set up the Mx StudioPro in a workspace and run it ..
Go Make It
SAML Module has so many configurations (Configuration in the Mendix App and Identity Provider (IdP)).
So it is not easy to figure out what went wrong.
It would be better to test Mendix app with SAML SSO using samltest IdP
Steps to test
1)Configure the SP and IdP in Mendix App (Idp Metadata Url: https://samltest.id/saml/idp)
2) Download SP Metadata
3) Upload the above SP Metadata at https://samltest.id/upload.php
4) Try to login with SSO If the above test works, you can simulate and test Azure IdP as well.