Assuming you did all the steps described here: https://docs.mendix.com/appstore/modules/saml/
and that https://url.com/sso/ is your Mendix application and you are not redirected then your metadata that you received from the IdP might be wrong. Inside this metadata is the redirect URL (which is the login page of your IdP). So check if that URL is available when you enter it manually.
Furthermore is SAML tracer a usefull plugin for Firefox. With this tool you can follow the whole SAML login process. And do make sure that you raise the log level of your environment otherwise you only get generic errors instead of more specific errors.