Found the answer. You need to create a user from the CLI which is not a SSO user:
cd /opt/gitlab/embedded/service/mattermost/i18n
sudo -u mattermost /opt/gitlab/embedded/bin/mattermost -config="/var/opt/gitlab/mattermost/config.json" -create_user -team_name="name" -email="user@example.com" -password="mypassword"