SSO Integration with Salesforce Sandbox => AADSTS70001: Application with identifier xxx was not found in the directory yyy

Hi,

I'm currently implementing SSO between Azure Active Directory (as identity provider) and salesforce sandbox (as service provider) by completely following the instruction from this site:

https://go.microsoft.com/fwLink/?LinkID=521879&clcid=0x409

However, I always get this information, right after successful login into Azure Active Directory:

The only difference between the instruction guide and our implementation is that we have this salesforce domain

https://aaaa.bbbb.my.salesforce.com

instead of

https://aaaa.my.salesforce.com

which is mentioned in the instruction guide.

Can anyone help us with this issue? 

Thanks!