This page/message is served from the <project directory>/resources/SAML/templates folder. You should be able to edit
saml2-error-result.vm
and add an additional link/button that hits your SSO logout endpoint. I think the Mendix SAML logout URL might do the trick, which is:
https://saml20.mxapps.io/SSO/logout
Otherwise, you might need to use your IDP’s logout URL.