Hi,
>> The SSO Login url we are setting on Azure side is https://{my-local-server}/idp/profile/SAML2/POST-SimpleSign/SSO (not sure that's the one).
Using Redirect URI or only POST URI are standard.
>> First think I notice in the Trust relationships list is that the Validatino status says Failed.
It's a bug ( cosmetic one, not FATAL ), which should be fixed in latest version.
>> the status is Inactive
This is a problem. 'idp-process.log' and 'oxtrust.log' with DEBUG will reveal what's breaking. Mostly related with SP metadata.
>> 2020-06-02 16:36:02 : ERROR : cvc-elt.4.2: Cannot resolve 'fed:SecurityTokenServiceType' to a type definition for element 'RoleDescriptor'.
2020-06-02 16:36:02 : ERROR : cvc-elt.4.2: Cannot resolve 'fed:ApplicationServiceType' to a type definition for element 'RoleDescriptor'.
Seems like you need to modify AzureAD metadata so it can sync ( acceptable ) by Shibboleth.
>> I wonder, is AzureAD a valid SAML source for Gluu?
I don't have AzureAD test account handy atm so can't tell; however I used to 'modify' ADFS or similar product's metadata to make it acceptable by Shibboleth ( aka. Gluu as well ).