Setting up FortiGate Web Authentication and SAML as idP

Hi,

I am trying to set up FortiGate Web Authentication and SAML as idP but I am having issues, I am following this guide https://docs.fortinet.com/document/fortigate/7.4.4/administration-guide/33053

I have setup but the authentication portal is not kicking in, I have seen that on the Fortigate in the Interface, you can enable Security Mode "Capture Portal", does this need enabling as not mentioned in the guide?

Overview of what I have done.

1. Created Enterprise App in Entra ID.

2. Created a group in Entra ID added users and assigned to App.

3. Created a Single Sign-on on the FortiGate pointing to the Enterprise App.

4. Create a group on the FortiGate and set the Remote Server to Fortigate the Single-Sign-on and the Enterprise App group ID.

5. Created a Firewall rule to allow traffic out and added the Fortigate group created in step 4.

6. Create a Firewall rule to allow traffic in.

When I test from a client PC or the Enterprise App I get 2This site can't be reached."

I feel as if port 1003 is not enabled or working, do I need to allow this port or another step to enable Capture Port?