Hi Vaadadmin2010,
That option just means - if the user is redirected back to the ADFS server to authenticate - always prompt for credentials even if they have a valid SSO token already.
On your devices, most likely you aren't actually closing the browser, instead you are just hiding the browser between connections to the application, so the Relying Party is considering that the user is still logged in and never redirecting back to ADFS.
If you want to test this functionality on a mobile device, either kill the browser application using a task killer or create a private browsing window to access the application, then close the private browsing window, open another and try again.
Good Luck!
Shane