Thank you for the response!
I looked at the logs and it really works as excepted:
-> Signing XML (Signature is missing from the samlp:Response message)
-> Signed XML (Signature is added to the samlp:Response message)
But I still a bit confused why Signature is not presented in the samlp:Response from the code point of view.
There are two places I have been used to debug and explore the response message:
-> IdP - using OnSamlResponseCreated event
-> SP - using OnSamlResponseReceived event
In both of them, the Signature has not been presented in the saml response, but it is in the assertion ("SignAssertion": true)
It's not a big deal because the things work correctly, I'm just wondering why it behaves like that.