Check the contents of the SAML Metadata endpoint in the Collaborator server:
https://support.smartbear.com/collaborator/docs/server/admin-tasks/single-sign-on/saml.html
The EntityID is the URL of the Collaborator server.
I believe the Reply URL is the ACS endpoint in Collaborator. The Azure AD (Microsoft Entra) docs
https://learn.microsoft.com/en-us/entra/identity-platform/reply-url
indicate that the authentication response coming from Entra should be directed to the Reply URL. The Collaborator ACS endpoint handles the authentication responses from the IdP.
(This is only my understanding based on limited experience.)