There is no SAML providers shipped from SAS that are officially supported with a SAS 9.4 based solutions. Therefore there is little support you'll be able to get from SAS Technical Support with such a setup. Web server authentication with SAS 9.4 is covered in the SAS 9.4 Middle Tier Administration Guide, that part would be support by support. If the SAML identity provider you are using can provide you with (and setup) a client modules that can be loaded by a standard web server like Apache HTTP Server you might be able to leverage that and integrate it with SAS 9.4 using the web server authentication that available.
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