We have got it working with multiple clients with the SAML Module. I am no specialist on the Microsoft side but sending this link to the admin worked most of the time: https://docs.microsoft.com/en-us/dynamics365/customer-engagement/portals/configure-saml2-settings
On the Mendix side it is quite easy then if they provide you with the URL of the metadata. Just map what is incoming to the user entity at the Mendix side and you are done.
To test I always use a plugin in firefox SAML tracer. Real helpfull to see what is going on.