Great writeup @Mickeybyte - thanks for sharing! We have identical setup, Horizon 8.6, UAG 2207 with Azure SAML and TrueSSO like this, works perfectly with the HTML client. We do though have some challenges getting a native client initiated session to come back to the native client after authentication, it stays at the /portal/webclient page.
I can't find anywhere that someone actually has shown that working or what needs to be changed in the config, besides in this video: https://www.youtube.com/watch?v=asLT1aHrBvM (which is with Okta, though SAML, hence same-same ...)
In your setup, does it redirect back to a native client session after authentication and MFA?
