3525161 - SAML 2.0: "SAML20 CX_SAML20_CORE: No entity in with NAME [entity name] in client [client] found" when using SAML Bearer Assertions

Attempting to use SAML Bearer Assertions to authenticate to an S/4HANA system does not work.

When verifying SAML Security Diagnostics Tool traces (transaction SEC_DIAG_TOOL), the following error message can be seen:

SAML20 CX_SAML20_CORE: No entity in with NAME [entity name] in client [client] found" 

SAP S/4HANA 2020 and above.

SAML20 CX_SAML20_CORE, No entity found, NAME, no entity with NAME, with NAME, found in client, no entity with NAME found in client, SAML, SSO, SAML entity identity, SAML Bearer Assertion,SAML Bearer Assertion Providers, SAML Principal Propagation, SAML20, SAML20 <ASSERTION> , KBA , BC-SEC-LGN-SML , SAML 2.0 for ABAP , Problem