You can find a lot of details in this topic:
In short, SSO means that Discourse no longer does user management on its own, it relies entirely on the SSO master to handle this. Whether this is an advantage or a disadvantage depends on your use case – it means that any user of your SSO master can also use Discourse without having to create a separate account there. On the flip side, it is not possible to only have some users sign in this way – SSO always entirely replaces Discourse’s own user management.