If you write a B2C app, there is a good chance that you might not need Auth0 and the functionality of the authentication, authorization, and account management tools in your framework suffice. If you plan on selling B2B you might need to support SAML and other enterprise federated login mechanisms. There, the scales tip in my book and I would go with Auth0. It’s expensive to support SAML in-house.
There are plenty of libraries. But supporting a production SAML service provider takes a lot of work.
I've done this before. The first library I used had a horrible security issue that remained unfixed. We switched to one that seemed to be secure. Implementing SAML is non-trivial. Adding automated testing is also not something that required more senior people on our team. Getting engineers to understand how SAML work takes effort.
Also, about one out of five SAML IdP's are unconventional in some way. They are a royal pain to support.
The support burden of SAML is much higher than expected. Paying for Auth0 is cheaper than the engineering cost of supporting SAML, even with one of the existing libraries you refer to.