You can have multiple LDAP strategies with priorities, so i can't see why you couldnt set SSO as the highest priority, and then LDAP stratergies with lower priorities.
Reason for this (which has happened for us today) is that our SSO providers certificate has expired, which means no-one can log in. It would have been good for it to automatically defer to a direct LDAP stratergy, which would have worked.
Another reason for this requirement would be to have CLI authentication requests served via LDAP(not possible with SAML as the password is not sent with request) and not have to rely on locally managed Splunk accounts.
When you set up the Authentication Method it is either LDAP OR SAML in the UI, not both. Perhaps there is a way in the conf files.
My experience is in SAML configuration. Local Auth can be enabled at the same time. To use local you must enter a different URL so as to not engage the SAML redirect.
something like this... https://xxxxxx.splunkcloud.com/en-US/account/login?loginType=splunk