This is a technical limitation of the Advanced Reviews add-on: "editable links" require CMS authentication, which your Entra SSO intercepts.
External users without Entra accounts can't proceed. I don't think there's a clean solution except adding those external users as guest accounts in Entra and assigning them the necessary CMS group permissions.

As a workaround, you could try overriding authentication specifically for the /externalPageReview/ path to bypass Entra - something like this in Program.cs:

app.UseWhen(context => context.Request.Path.StartsWithSegments("/externalPageReview"), app =>
{
    app.UseCookieAuthentication(); // instead of Entra
});

But this requires building a separate local login page and isn't trivial.