VMware Cloud Director 10.6.1
The issue happens because when you will try to download the Service Provider Metadata from VCD there's no Entity ID present in the file. Secondly, the metadata gets downloaded in HTML format instead of XML format.
To workaround the issue please change the REPLY URL in Microsoft Azure manually. The recipient address at the Azure end should be set correctly to: https://<vcd-fqdn>/login/org/<SAML-ORG-NAME>/saml/SSO/alias/vcd to resolve the issue.