Howto
Reconfigure an Azure Domain from federated to managed login
Step 1
Open on a Windows machine a Powershell window.
Step 2
Type in and replace DomaineNamewithSSO with you domain name:
Connect-MsolService
Set-MsolDomainAuthentication -DomainName DomaineNamewithSSO -Authentication Managed
References
Blog allthingscloud.info
Microsoft Blog with additional information