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Currently it needs to be a console app, we expect to be able to "dotnet run" the project (or have an equivalent binary).
I don't understand your second question, why can't a program creating Auth0 resources be a pulumi project?

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Thought itd be console app to do dotnet run! (And create the resources). for the second question, in the pulumi web ui i see this:

However, the cloud is not relevant to me (the app is actually in a private datacenter).

Ah you don't have to use the template wizard to make a project, but just pick one for now and edit the code to use Auth0 provider once it's given you the skeleton project code.