I'm using Trailhead to learn something about Lightning, since we are refactoring form Classic.
The tutorial had me created a new App using the Setup > Home > App Manager > New Lightning App path.
I created my app, but when I attempt to access it, I cannot see it in the App Launcher view. 
I can see it in the App Manager, so I know it's there. 
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The directions are:
From the Home tab in Setup, enter App in the Quick Find box, then select App Manager.
Click New Lightning App.
In the Lightning App Wizard, create an app with these parameters.
App nameDelivery Tracker
DescriptionTrack warehouse deliveries.
ImageYour choice!
Use a JPG, PNG, BMP, or GIF image that’s smaller than 5 MB. For best results, upload an image that’s 128 by 128 pixels. Images larger than the maximum display of 128 by 128 pixels are automatically resized.
Primary hex color value#09D4EA
App navigationStandard
Navigation bar items (in this order)Warehouses, Deliveries, Merchandise, Accounts, Contacts, Cases, Reports
Assigned to user profileSystem Administrator
Click Save and Finish to exit the wizard.
Click  to open the App Launcher, and select the Delivery Tracker app.
Check out the new app!
It’s got all the custom branding we gave it: a custom icon in the upper left and the custom color we assigned to it. Because Warehouses is first in the navigation bar, it becomes the landing page for the app. And even though App Launcher was an item available for the navigation bar, we didn’t have to add it. It’s there, accessible by clicking .

I cannot change the Authentication Service under My Domain Authentication Configuration after I did a refresh of my sandbox. After I did the sandbox refresh I configured the SSO settings and uploaded the IDP certificate provided from my IDP. I enabled SAML and try to get the authenticaton service to point to my SSO under the My DOmain - Authentication Configuration.
I am using SSO and am trying to have it so that if they go to my SFDC domain.

Expected Behavior:
When I go to https://my-domain.my.salesforce.com to be redirected to www.domain.com/sso to use my SSO credentials.

Actual Behavior:
When I go to https://my-domain.my.salesforce.com it stays on that page and I cannot use my SSO credentions. When I attempt to change the Authentication Service under Domain Management -> My Domain -> Authentication Configuration it always reverts back to Login Page

If I try to disable the SAML in the SInge Sign On Settings page is gives me the error message: Error: Your organization or community is currently using SAML as an authentication method, so you can’t disable it.
So my problem is that I can not disable SAML or I can active the use of SSO authenication. 

I am confident the SSO settings are correct as they are the same as before the Sandbox refreshed where it worked just fine.
The Authentication Service under Domain Management -> My Domain -> Authentication Configuration always reverts back to Login Page seems to be the key issue her.

Please help