So from the security and compliance perspectives, it is a good idea to have a local admin user as a fall back user in case of any issues with SSO, including network access to SSO, or a simple SSO malfunction.
Think of a situation when you need to troubleshoot a production app, and it is running in Protect mode, and all of sudden you get an issue where you cannot login with your SSO. In this case you are not compromising on accessing through SSO vs local, your customer facing app is malfunctioning, you need to get it up and running, and you cannot execute your troubleshooting, bcz NV blocks you from using any unknown commands. You need a way to access it quick, and that is where local admin user will be extremely useful. Although you have local admin user enabled - you can steps to enhance its security by creating a complex password profile, setting up expiration/failed login attempts/etc. More importantly - you can track logins as admin through your logs.