The below errors show up in the Policy Server trace whilst trying to connect to the Policy Server from Microsoft Azure using OpenID:
[02/17/2020][15:43:21.431][1044][7436][Sm_Auth_Message.cpp:5338][CSm_Auth_Message::FormatAttribute][Send response attribute 158, data size is 55][][<User ID>][][OpenID Connect][OpenID Connect Realm][][][UserStore][sps_agent][][s269245/r3377][][][][][][][][][][][][Basic][][][][][][][####][][][<Transaction ID>][][][][][][][][][][][Login][Failed to create persistent session in Session Services][...]
[02/17/2020][15:43:21.431][1044][7436][Sm_Auth_Message.cpp:4835][CSm_Auth_Message::SendReply][** Status: Not Authenticated. Failed to create persistent session in Session Services][][<User ID>][][OpenID Connect][OpenID Connect Realm][][][UserStore][sps_agent][][s269245/r3377][][][][][][][][][][Failed to create persistent session in Session Services][][Basic][][][][][][][<User ID>][][][<Transaction ID>]
The issue occurred because the Session Store isn't configured when the requested realms are configured as persistent (1).
Configure the Session Store and enable Session Store checkbox on Smconsole (2).