Hi,
I'm not too aware on how groups are assigned / configured in Okta side of things, but from your SAML message example we can see the assigned groups are sent as individual attributes instead of list of attribute values.
You would need to set up groups to be sent inside one attribute statement with multiple attribute values, eg:
<Attribute Name="https://schemas.xmlsoap.org/claims/Group" ... >
<AttributeValue ... >Administrator</AttributeValue>
<AttributeValue ... >Employee</AttributeValue>
</Attribute>
Quick spy on Okta documentation (https://help.okta.com/en/prod/Content/Topics/Apps/attribute-statements-saml.htm) gives me a hint that you might need to create a custom SAML attribute to list the assigned groups for user to achieve this.
In IdP config, you would then use the attribute name ("https://schemas.xmlsoap.org/claims/Group" in my example) in the configuration text box for "Groups". Attribute name can of course be anything, but it has to match on both sides of configuration.