Setting the role in the front page settings doesn't mean authentication is required by Moodle. It only means that any already logged in user will have that particular role in the front page (so they can use the permissions assigned to that particular role in the front page).
If you want to force authentication on all users upon visiting any page on your Moodle site (beware, this means guests won't be able to see the front page at all!!!), you can use the
'forcelogin' setting. The setting is under Site Administration >> Security >> Site Policies.
Saludos.
Iñaki.
Authentication
SSO using NTLM LDAP
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