The Auth0 SSO provider doesn't allow wildcard in paths of allowed callback urls, which means that concrete url must be set to client in order to have working authentication flow. But provider's UI doesn't show any information on how the passed callback url will look like and it seems, that it's generated for each integration.
This means, that in current setup, the only way how to get working Auth0 integration is by obtainting the url from failed test of Auth0 authentication and ex post setting the callback url to valid value in Auth0.
UI should show used callback url when the integration is being set up.