Unable to proxy as another user, Confirm Impersonation login screen doesnt display password box

I've been researching how to use the proxy function in ERP and added the Impersonate User priv to our custom admin role (which is assigned to my profile). I've then signed in as a test user and added me to the Proxy list. When I sign in as myself again, click my photo, then click on Switch To and select the user, the confirmation pop up where I need to enter my password doesn't display the password box. It just has the buttons for Confirm or Cancel.

We use SSO so I'm not sure if that has any affect on this or not. Looking for help from anyone who's able to use the proxy feature. As support for the entire financials part of our company, it'd be a lot easier to proxy as a user than to schedule time with them.