When creating a SAML connection (Authentication > Enterprise > SAML), there is the option to turn on "Sign requests". However, the certificate used to sign these requests (namely: https://<domain>.auth0.com/pem?cert=connection) is self-signed.

This article explains whether there is a way to use a custom certificate to sign these requests, when, for security and compliance reasons, all certificates are required to be signed by a CA.

• SAML Request 
• Custom Certificate

Troubleshooting

This is not possible through the Dashboard, but the management API allows it:
https://auth0.com/docs/authenticate/protocols/saml/saml-sso-integrations/sign-and-encrypt-saml-requests#use-a-custom-key-to-sign-requests

The following documentation covers this specific requirement:
Use a custom key to sign requests

It’s not possible to configure it through the Dashboard, but the Management API allows it.