ok, I figured out the problem (or atleast a solution). The IIS was sending a redirect and that redirect was to a http address.
So when we configured the load balancer to redirect http to https everything works as expected. My guess is that the federation was causing the IIS to do an extra redirect when the casing was not correct, but that's just a thought.
Anyway - http to https redirect on load balancer solved it.
Larsi