Refer: AD FS 2.0: How to Use Fiddler Web Debugger to Analyze a WS-Federation Passive Sign-In
You'll see the MSIS* cookies are used for ADFS as opposed to the FedAuth cookies that are used for the application.
So you navigate to RolePlayer2, redirects to ADFS, sees you already have a cookie i.e. have authenticated and mints the FedAuth cookies for that domain/application without asking you to login.