SAML 2.0 version is supported in LoadRunner Professional 2020
For LoadRunner Professional older versions use the following work around to manually import soap request for each calls including authentication calls ( SAML2 Authentication).
Capture soap requests from SoapUI:
a) Using soap_request (import _sts_request.xml), we send request to STS. We should parameterize the "created" element in the header so it will be the current time
b) Now from the response of the above request, extract saml:Assertion using lr_xml_extract
c) Now using next soap_request add the Soap header to insert the SAML assertion captured above