Hi @TBC-Gareth
Check my blog posts on VMware Horizon authentication using AzureAD (with multifactor) – MickeyByte IT Pro Blog.
I think the SAML part (VMware Horizon authentication using AzureAD (with multifactor) – Part 4: SAML Setup – MickeyByte IT ...) will be the one you need to double-check to see if everything is setup correctly.