99.9% of my experience up to this point is in on-site/on-premise Active Directory, not Azure, so forgive this question.
I built a small Active Directory integrated to Azure Active Directory lab, integrated with the web domain zero365.net (you may visit it, it's just a GoDaddy "web builder site" that took all of 5 minutes to build.)
From inside my Active Directory domain network, on any domain-joined machine's web browser, if I navigate to http://login.microsoftonline.com, and enter in firstname.lastname@example.org, ADFS authentication mechanism kicks in, asking me for a username, after I feed it an internal on-premise AD username I get successfully re-directed to https://www.office.com/?auth=2, an Office 365 home page. Looking good, right? A vanilla Active Directory to Azure Active Directory / Office 365 environment. Though I would prefer to ultimately land at http://zero365.net instead, but this is not my question.
The question is, from internal, if I navigate to htttp://fs.zero365.net, (fs.zero365.net is a hostname of my internal ADFS server, hosting the STS), I get taken to the below IIS page. A little confused here, as I thought that would also kick in a re-direction to an authentication challenge and ultimate re-direction to my external page at http://zero365.net. My actual internal Active Directory domain is dev.local, and the Active Directory integrated DNS for that hosts an internal zone for zero365.net just so internal clients can hit the ADFS servers for any calls to fs.zero365.net. (To make things more self-explanatory in the future, I will rename fs.zero365.net to sts.zero365.net. But that's for another day.)