SSO with Shibboleth not working

I’m using 6.3.1, and Shibboleth 3.4.1 over nginx 1.22.

I’ve protected the /auth/sso URL and configured the Settings → Security → Third party application → SAML apt.
It seems to work, except that when I try to login I got the error:

401: Unauthorized
User 'luca@xxxx.it' could not be found.

This apparently is ok, since I’ve not created the user in the users list.
I then create a user with the above email, and also enable the automatic linking.
Then, if I try to do SSO login (in a private window, to avoid caching), I cannot login and got immediatly redirected to the login page without any error message. In the log I cannot find anything useful.
What to search for to solve the issue?