There should not be any issues with Sandbox settings affecting Prod, no, because we do refresh Prod settings *into* Sandbox each quarter.
If your goal is to test another SSO system in Sandbox, as long as we have the metadata for that syste, you can point it wherever you want as far as the Entity ID goes. You can point the two environments at completely different systems and they will not impact each other.
The only time where Sandbox SSO could impact Production is:
- If they were both pointing at the exact same system *and*
- If you start making changes on the IdP system side to test the changes in Sandbox
But it is perfectly valid for Production to point at entity ID/metadata for IdP system 1 and point Sandbox at entity ID/metadata for IdP system 2. Just know that sandbox will overwrite from prod at the next refresh period.