This is a late answer but I was in this position and could not find the answer anywhere so maybe this will document it for someone else who is searching.
If SAML SSO is already set up (as the question states) and you are using Azure AD then what you need to do is to add the users to the Azure AD group that has been created to give access to Splunk. You don't need to do anything in Splunk.
I did also do "Reload authentication configuration" under Access controls, Authentication method, but I don't think that was necessary.
The users do not appear in the Splunk user list until they have logged in.
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