Hello Thomas,
Thanks for reaching Dynamics 365 community web page. I have tested CRM v8.2/9 with ADFS on Windows Server 2016 which is supported as per this software requirements documentation for Dynamics 365 CE server however, ADFS feature on 2019 has not been tested out yet with Dynamics CRM web apps and hence remains unsupported till this date.
Here is a snippet of the details from this online document for your reference ::
Dynamics 365 Server supports the following Active Directory Federation Services (AD FS) versions:
Active Directory Federation Services (AD FS) 2.1 (Windows Server 2012)
Active Directory Federation Services (AD FS) Windows Server 2012 R2 AD FS (Windows Server 2012 R2)
Active Directory Federation Services (AD FS) Windows Server 2016 AD FS.
docs.microsoft.com/.../software-requirements-for-microsoft-dynamics-365-server