Hi Hugo,
Thank you for posting.

We are using wp_login_url() so any plugin filtering on that url should do it automatically.

Here is the filter if the plugin is not doing it

/**
 * Filter login url.
 *
 * @param string $login_url login url.
 * @param string $redirect where to redirect.
 * @param bool   $force_reauth force reauth.
 *
 * @return string
 */
function buddydev_custom_sso_login_url( $login_url, $redirect, $force_reauth ) {
	return site_url( '/?auth=sso' );
}

add_filter( 'login_url', 'buddydev_custom_sso_login_url', 10, 3 );

You can put it in bp-custom.php or child theme’s functions.php and It will work.

Regards
Brajesh