Single Sign Out is a feature of Azure AD that will try to sign out a user from all Azure AD applications he / she has previously signed into when that users signs out of Microsoft.
To support this feature, you must update the configuration of your Azure AD App registration for your WordPress website and set the so-called Logout URL on the one hand side. On the other hand side you must tell WordPress that users can logout without confirmation by checking this option.
For further technical details please refer to the Configuration documentation https://docs.wpo365.com/article/90-single-sign-out.