The ability to prompt for VPN connection before Windows login is a feature we call SDL (Secure Domain Logon).
Because there is no user at the Windows login screen and a browser is needed to perform the authentication, the browser runs with the only permissions it has: SYSTEM.
That's potentially dangerous and thus why we do not support SDL with SAML authentication.
Having said that, we've come up with a different authentication flow for this use case that is more secure.
Specifically, instead of authenticating on the local browser, a QR code is displayed which you can use to complete the authentication flow from a different device.
However, it is currently only available as a customer release tied to a specific version/JHF level and VPN client release.
Contact your local Check Point office for additional information.