Redirected to Microsoft dashboard instead of web app when initially authenticating with B2B SSO to azure.

Question

We are having an issue setting up an SSO connection between our web app and azure.

Our app uses auth0 for authentication. We've set up an Azure AD enterprise connection in Auth0.

In general everything works as it's supposed to except for one issue: If the user is not currently logged in on Microsoft/Azure side he is shown the microsoft login prompt. He then inputs it's email and password and after successfully logging in, is then redirected to his/her owns Microsoft dashboard instead of being redirected to our own App/Auth0. Weirdly enough the user is also logged in, simultaneously on our own app, as we've noticed, with the browser network devtools, during the MS login process, callbacks are being made to Auth0 that authenticate the user. Unfortunately it doesn't actually redirect the user to our own App.
We can confidently rule a misconfiguration of the replyUri/RedirectUri on the Azure side, as seen by the fact that the user is actually authenticated on 'our' side. If the user is already logged in on the Microsoft/Azure side when logging in on our App, the flows works correctly and user is correctly redirected to our app. It's only when the user has to actually input the email and password on the Microsoft prompt that the issue occurs.

Any help with this issue would be greatly appreciated.