Did you configure your Accounts.csv file correctly? Refer to the following:
https://zorro-project.com/manual/en/saxo.htm

Quote
If you have a permanent token, enter it in the User field, and keep the Password field empty.
If you have no token, enter the client id in the User field, and the secret in the password field.
Start the session. With no token, you will be redirected to a website where you enter your credentials.
Zorro will then automatically request a token and start trading.

User: Token or Client ID
Password: Empty or Secret

Example account list entries:
Code
Name,Server,AccountId,User,Pass,Assets,CCY,Real,NFA,Plugin
SaxoToken,Saxo,EUR,tokenabcdefg123456xyz,0,AssetsSaxo,USD,1,14,Saxo
SaxoAuth,Saxo,EUR,idijklmnop4711,00123456abcdef,AssetsSaxo,USD,1,14,Saxo