This is Ignition configuration, nothing to do with your IdP.
Your Security Levels config should look something like this, if "Supervisor" is indeed a user role. The "SecurityZones" underneath the role is automatically added based on what is defined beneath this in the Public/Authenticated/SecurityZones
folder
In this instance, I have user roles Administrator, Developer, and Maintenance. And I've added them (manually) into the Roles folder in the Security Levels. Then when users log in that have any of these roles defined in their user profiles, they will automatically then be granted that role's security level.
I'm still not entirely sure why the roles aren't automatically added based on your user source roles, but my assumption is that you could have any number of user sources all with different roles, so it doesn't make sense to pull these all in.