Re: SAML SSO option missing in the GUI
depending on your FortiOS version you won't be able to get it and if you do you will loose it with an upgrade. as people mentioned the SAML config moved to the Security Fabric section and that menu option is gone. this was confirm by Fortinet support.
the work around mentioned here didn't quite work for me, i just set it up via the CLI (6.2.4) and then was able to see it when enabling Security Fabric / Telemetry. In 6.4.2 it worked better as described above.