Did you see this part in the documentation?
Mendix Single Sign-On is only activated when your app is deployed to the Mendix Cloud. When you run your app locally, or on another cloud, you will need to use local credentials.
See the documentation here: https://docs.mendix.com/developerportal/deploy/mendix-sso
Regards,
Ronald
If you're running local, you need to remove the role of"Anonymous"(in"Security -- Anonymous users") . You need the"Atlas_UI_Resources" module. You need to change the“Login. HTML”.See the documentation here: https://docs.mendix.com/developerportal/deploy/mendix-sso