3201824 - Test single sign-on from Azure AD returns error "Identity provider cannot process the response due to wrong configuration. Please contact your system administrator"

Identity Authentication acts as a proxy to delegate the authentication to Azure AD as corporate identity provider.
While testing single sign-on from Azure AD, the following error occurs:

"Identity provider cannot process the response due to wrong configuration. Please contact your system administrator."

The error also occurs while opening the application on "https://myapps.microsoft.com/".
In troubleshooting logs of Identity Authentication with All severity, there is an entry like:

"state=failed, action=authenticate, objectType=user, message="User authentication failed.Cookie name is not valid"

If you open the application URL directly in browser to test, SAML2 SSO works fine.

Identity Authentication

KBA , BC-IAM-IDS , Identity Authentication Service , Problem