You should see a notification if you are a moderator on the site. Admins do not get the pending user notification.
If you set the require_activation SSO parameter to true and enable the “must approve users” setting, users will not show up on the Pending list until they are manually activated by a staff member from the Admin / Users / New page.
There do seem to be some conflicts between using SSO and enabling the “must approve users” setting. Ideally, when SSO is enabled, the SSO provider site would be used to limit access to your forum. Unfortunately, this can only be done by adding some custom code to your site. There are details about how to do that in this post: How to prevent some WP users from being able to login to Discourse - #2 by simon.