Redmine

The last_login_on field is updated when a user logs in with a username / password (i.e. when using the built-in authentication with a stored password or with an external LDAP server), or when automatically logging in with an autologin cookie. It is also not set when authenticating via Basic Auth as this would update the field on each and every request.

Since you state that your users login via SAML (which is not supported by Redmine out of the box), you are likely using a plugin or some custom configuration. Here, the field may not be updated as expected by your plugin. Please contact the plugin authors in that case. If you are using an unchanged Redmine, please provide more details about your configuration.