With the original CDN import, the signup fails although user is created, as reported in There was an error processing the login #546.
<script src="https://cdn.auth0.com/js/lock-9.min.js"></script>
With the current latest 11.8.1 does not work either.
<script src="https://cdn.auth0.com/js/lock/11.8.1/lock.min.js"></script>
Auth0 sample jQuery Quick Start does work.
I suppose the javascript implementation is outdated and does not work anymore.