Can multiple domains be set up on a single SSO, or do I need one for each of my domain?

The SSO agent will only return the user.  It is up to your SonicWall’s communication with AD to determine Domain information.  The SSO agent has no role in determining the domain, so it is irrelevant whether one or multiple SSO agents are configured. 

The following KB will provide you with information regarding using LDAP with multiple domains:  https://www.sonicwall.com/en-us/support/knowledge-base/170503587267875