SF Sandbox SSO not working with Azure

Hi, Is there a KB on how to setup SSO for SF sandbox with Azure?

The MS KB here does not work. and gives me the error:

 My Azure saml SSO settings are the following:  

And my Salesforce SSO settings are:

The SF sandbox user account is appended with .preprod, eg john.doe@company.preprod, the users account on Azure is john.doe@company.com

There seems to be an issue with SF handling the username not matching but the settings are set to contain the Federation ID. This is a bit confusing why it is not working. Has anyone else faced this issue?