There is a slight catch with Splunk Cloud that doesn't happen with Splunk Web in my experience. I've set up SAML SSO on both configurations.
When configuring SAML on Splunk Cloud from Okta was that I needed to configure a load balancer in the SAML configuration. Otherwise it went to sh1.CUSTOMERINSTANCENAME.splunkcloud.com:8443 which isn't Internet accessible.
Here were my steps (note the missing steps 7-10 that are special for Splunk Cloud since it has a load balancer involved):
Log into my Splunk Cloud
Go to Settings | Access Controls
Set External to SAML
Click Configure Splunk to use SAML
By Metadata XML File, click Select File and browse to metadata file from Okta
Scroll down and copy Issuer ID and then paste it into the Entity ID field
Scroll down and set Name ID Format to Unspecified
[MISSING STEP] Click the HTTP POST buttons by SSO Binding and SLO Binding
[MISSING STEP] set Fully qualified domain name or IP of the load balancer to https://CUSTOMERINSTANCENAME.splunkcloud.com (replace CUSTOMERINSTANCENAME with yours or your customer's real instance name)
[MISSING STEP] set Redirect port - load balancer port to 443
Click Save
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