The main downside to SSO is that if the account in the Identity Provider is compromised (or the IdP itself is compromised), any Service Provider account that it grants access to is also compromised. Having multiple accounts with different strong passwords and different 2FA would mean that compromising one account doesn't compromise the other. Of course, that's not reality, in reality the users pick one password (hopefully strong) and use it for both accounts, and pick the same, most convenient 2FA option for both accounts. For just about every practical purpose, you are much better off focusing your users on securing one thing instead of many, asking them to choose one strong password and a good 2FA option like a mobile authenticator, or smart cards.
A company may also choose not to implement SSO because it is too costly to implement well internally (not just setting up the server, but securing it) for the perceived benefit and they do not trust any third party providers. However, in the OP case it sounds like management has identified the cost as acceptable for the benefit.