My understanding from talking with R&D is that the latest firmware (R81.10.05) has support for Remote Access SAML integrated.
However, because it has not been tested by QA to confirm it, it is still listed as a known limitation.
Assuming your Smart-1 Cloud tenant is on R81.20, then you should be able to apply the following: https://supportcenter.checkpoint.com/supportcenter/portal?eventSubmit_doGoviewsolutiondetails=&solut...
Having said that, this isn’t formally supported (yet).
If you want formal support, I recommend engaging with your Check Point SE.
Otherwise, you’re limited to using RADIUS + NPS as @Chris_Atkinson suggested.