Salut @corentin rousseau !
La plateforme Q&A n'est hélas pas multi-langue. Ça explique surement pourquoi tu n'as toujours pas de réponse. Je vais te répondre en Anglais, si ca marche pas pour toi, ping moi sur LinkedIn 😊
First of all, if you organization is using Entra ID (aka Azure AD), it would be strongly recommended to integrate your SaaS application with that instead of AD FS. If you do not use Entra ID yet, well, that might be the occasion to start :) The integration is explained here: https://learn.microsoft.com/en-us/azure/active-directory/saas-apps/ms-confluence-jira-plugin-adminguide
Now the error you are getting is "normal" if what you do is just trying to access this URL using your browser (which would be the equivalent of doing a GET to the URL with no parameters). This endpoint is expecting a SAML request, not a simple GET with nothing. You can configure your app and have it point to thar URL, the app will then (probably) craft a proper SAML request for you. If you want to test it end-to-end with a SAML application, you can use the Claim X Ray application from https://adfshelp.microsoft.com.
Bonne chance :)