Why do I have to link it to AmazonCognito.com? Wouldn't his be an infringement on my privacy?

The warning is from AWS (Amazon Web Service)'s authentication service called, Cognito (https://aws.amazon.com/cognito/). It's an authentication service that just brokers your SSO provider.

All it does is passing the fact whether the user was "authenticated" by your SSO or not. It does not store or receive any personal information at all. Simply put, it just passes "Yes" or "No" info from your system to Kokomo Safety Cloud. The message user is seeing is a bit overly precautionary, and generic term.

Rest assured, it's a standard best practice in cloud application with SSO, with the #1 cloud provider (AWS), and it is one-time warning.