No, that's not how it works, you have to pass a proper regular expression, then save what's been captured.
For multiple capture groups, you'll have to use latest snapshot. Otherwise you'll have to use several single capture group regexs.
With current snapshot:
// capture several elements into a Tuple3
.check(headerRegex("Location", "foo()bar()baz()qix").ofType[(String, String, String)].saveAs("headerExtracts"))
.exec(session =>
session("headerExtracts").validate[(String, String, String)].map { case (ssoUserId, ssoSessionId, ssoOrgUnit) =>
session.setAll("ssoUserId" -> ssoUserId, "ssoSessionId" -> ssoSessionId, "ssoOrgUnit" -> ssoOrgUnit)
}
)
But then, do you really need this? Gatling knows how to follow redirects.