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When configuring Shibboleth SP to use a PingFederated PingFederate (PingIdentity) IdP, do not use the "/idp/startSSO.ping" endpoint as this is a proprietary Ping endpoint for IdP-Initiated SSO which is not for SAML 2 requests and will drop the RelayState parameter. Use the "/idp/SSO.saml2" endpoint for expected Shibboleth SP behavior.
PingFederate has non-standard metadata handling and usage and is unable to automatically consume multiple entity descriptions at once.