PicketLink does not include Destination URI for an AuthnFailed Response. This is an optional attribute but is required under as per the SAML Spec under certain cases.

As per the spec "If the message is signed, the Destination XML attribute in the root SAML element of the protocol
message MUST contain the URL to which the sender has instructed the user agent to deliver the
message. The recipient MUST then verify that the value matches the location at which the message has
been received."