You do not need to setup SSO on the indexer. It's only required for the search head.
If you hover your mouse over the panel a toolbar shows up at the bottom. One of the icons is "open in search", click on this and confirm you do indeed get results. Then click on the "i" icon (inspect). This will open up the Search Job Inspector window. There is a link for "search.log" which you can browse, it will state the reason for why no results are found.
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