Hello @Alfred See ,
Thanks for reaching out.
Could you please try creating application from "Enterprise applications blade" by selecting third option ( which is Integrate any other application you don't find in the gallery (Non-gallery) ) as shown below and you would find SAML SSO settings.
Application creation:
SSO setting once App created
Because, if you create application either from "Apps Registrations" blade or selecting below option from "Enterprise applications balde" then above error is expected.
Hope this helps.
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