Upon further research I came across this in the readme text:
1.4.1 Logging In To Multiple Domains
The Domain Access module allows the creation of domains with different hosts. However, security standards dictate that cookies can only be read from the issuing domain. As a result, you may configure your site as follows, but when you do so, users cannot be logged through a single sign in. example.com one.example.com myexample.com thisexample.com While example.com and one.example.com can share a login cookie, the other two domains cannot read that cookie. This is an internet standard, not a bug. Note: See the INSTALL.txt for instructions regarding Drupal's default cookie handling.
This is no a bug like I thought. I am answering it here so that others may learn from the time I spent trying to solve it.