Single Sign-on forces to relogin

I am banging my head and I need some assistance. I have 3.8.1 multisite installed and I want to use two domains for my users to choose from. Blogs are to be in subdomains. I have installed current version of Multi-Domains and configured according to the installation/configuration instructions. I have enabled Single Sign-on expecting to be able to login once. I have also configured a loginbox in a sidepanel of the main site (using standard wordpres login box function). After logging in the user stays on the front page and the login box is replaced with proper links for a logout and their dashboard.
Here's what is happening when the Single Sign-on is enabled:
1. first login - user is logged in, I have their account data and I can display their links.
2. However the dashbord link doesn't work - user is forced to relogin on wp-login.php
3. Only then can he/she enter their dashboard
4. Subsequent logons work fine and the link on the main page works.
5. Logout causes the need for double login again

If I turn off Single Sign-on in Multi-Domains and declare
define('COOKIEPATH', '/');
in wp-config - login works as I intended but only on the single main domain.

What should I do to have a single sign-on on the main blog, working across domains?