This happens because your Azure AD domain is federated with ADFS. Let's take a scenario where you have 2 custom domain in Azure AD, DomianA.com and DomainB.com. Out of these domains you have DomainA.com as federated with ADFS. This means any user who has UPN suffix as "@domainA.com" will be redirected to ADFS for authentication.
Now, whenever user with UPN suffix "@domainA.com" tries to access any application which is configured in Azure AD, they will be redirected to ADFS for authentication. Basically user tries to access the application, Application redirects the request to Azure AD. Azure AD will prompt for credentials. When user enters the UPN with suffix "@domainA.com", Azure AD will check its database and know that this domain is federated. So Azure AD will forward the request to ADFS for authentication.
This happens with any protcol (SAML, OIDC) that application is using. First the request lands to login.microsoft.com endpoint. this is Azure AD authentication endpoint. Once user enters there UPN, the request is redirected to ADFS for authentication.
Let me know if you have any further questions on this.
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