Automated login with LDAP always returns error I have successfully setup LDAP module to authenticate users (and create new users). This is done through manual login form. Now I'm trying to enable automated single sign-on, but with no luck. 

I have enabled LDAP SSO, and selected Turn on automated single sign-on.

On IIS, I've enabled Windows Authentication (Anonymous is still enabled).

I do not get automatically logged in, it returns error msg "You were not authenticated by the server. You may log in with your credentials below".

What else needs to be configured in a Windows environment to enable SSO?

Does anyone have any insight on what the reference info is talking about, when the say "This requires that you have operational NTLM or Kerberos authentication turned on for at least the path /user/login/sso, or for the whole domain" ? Other than looking at Windows Authentication on IIS, enabled providers = NTLM, what else needs configuring?
Perhaps not a direct answer to you question about the LDAP module but I managed to enable SSO in a Windows domain environment with the Webserver authentication (https://www.drupal.org/project/webserver_auth) module. 

You need to force Windows Authentication in your IIS site and disable Anonymous authentication. The Webserver authentication module is also capable of creating accounts when a Windows Domain user is visiting your site and is not registered in Drupal.