I guess the question then is … if you try and save that, are you seeing the message there or not? If you’re not seeing that then I’ll definitely take a look.
We’re less concerned with “state-of-the-art,” more so with just getting it right. The issue here might seem small but redirects after authentication need to be very trustworthy. If I log into a site through, say, Google and I land on a page, I’m going to assume I’m in the right place and not be skeptical. That could be a problem if that link is intercepted or altered in-flight.
All that said, at the very least, we should allow redirects within the same network, that, to me, doesn’t compromise anything. I added this as an issue and will address for the next release after the upcoming one:
https://github.com/auth0/wp-auth0/issues/459