They don’t get on so well together, the maintainers of sssd assumed that many (most?) people would run their sudo configuration through sssd. To correct this simply remove sss from the sudo line in /etc/nsswitch.conf
# /etc/nsswitch.conf passwd: compat systemd group: compat systemd shadow: compat gshadow: files host: files dns networks: files protocols: db files services: db files ethers: db files rpc: db files netgroup: nis sudo: files