Workaround
Hi Nixu and Joejohns, Because its an MSI file, you can't "Right click - Run as administrator", but it does prompt for UAC at the beggining of the installation process, however, it seems the SSO component does not install in the same process, and reverts back to your normal authorisation level, therefore, it fails.
However, if you run as administrator a Command Prompt (CMD), then you can msiexec /i Path and name of msi installer.
This installs and fixes the problem.