Office 365 Single Sign On

What you are looking for is the "seamless SSO" experience, which is certainly possible with AD FS but requires some additional configuration. First of all, make sure to review this article to better understand the expected experience: https://blogs.technet.microsoft.com/abizerh/2013/04/11/more-information-about-sso-experience-when-authenticating-via-adfs/

Once you cover that part, start working on the real solution for seamless SSO - smart links. I've put some guidance here: http://www.enowsoftware.com/solutions-engine/using-smart-links-to-improve-the-login-process-to-office-365-applications

For SPO in particular, you can also take a look at the "acceleration" feature: https://support.office.com/en-us/article/enable-or-disable-auto-acceleration-for-your-sharepoint-online-tenancy-74985ebf-39e1-4c59-a74a-dcdfd678ef83?ui=en-US&rs=en-US&ad=US