Salesforce actively block SSO logins when you are logged in(impersonated) as a different user. As an admin or delegated admin, you can login as an user using Login button on the User Detail Page. So, when you login as an user in Salesforce, it won’t login into other dependent applications if they are authenticated via SSO. 

 

 

If you want to test as an user, then create test account in the third party applications and also in the Identity Provider and use the SSO and login. Do not try to test other applications by impersonating as an user in Salesforce.