Multisite: User on subdomain doesnt login to main site

Hi folks

I have a multi-site network setup.

Customers register with us on our main site, my-site.com
I then manually provide a website for them using Pro-sites (a sub-domain), eg their-site.my-site.com
My problem is, when a customer logs in to their-site.my-site.com/wp-login.php, they do not automatically get logged in to my-site.com, so when they visit my-site.com they are unable to see membership content.

However, if they login from my-site.com/wp-login.php then they can see the content, and can access their own website admin - their-site.my-site.com/wp-admin without having to login again

Am I missing something, can the customer login from their site and access content on the main site, or is this only a one-way thing available by logging in from the main site?

Thanks

Ciaran