Make sure you've specified SignAuthnRequest="true" in your saml.config.
If the SAML authn request is being sent using the default HTTP-Redirect binding, the authn request won't include an XML signature. Instead, an HTTP-Redirect binding specific signature is used which is included as an additional query string parameter.
I suggest confirming that you've specified that authn requests should be signed and that the IdP has the correct certificate to verify these signatures.
The private key associated with your local certificate (eg your SP.PFX file) is used to sign the authn request. The IdP should be configured with the corresponding certificate (eg your SP.CER).