User Sharing and Single Sign-in
The JMS user sharing functionality extends joomla with the sharing of the users information and access control. When sharing is enabled, the users tables are shared between the different websites and allow you to connect on all those websites with the same login and passwords. This also mean that the administration is also grant to all the websites for which the users are shared. The Single Sign-In is limited to website on the same domain and that can have different sub-domains or sub-directories.

Does that mean if i have www.site1.com and www.site2.com that i cannot do single sign-on?

exact.
www.site1.com and www.site2.com can NOT have a single sign-in.
only the users can be shared and the users will have to re-login.

site1.domain.com and site2.domain.com is OK (single sign-in OK)
www.domain.com/site1 and www.domain.com/site2 is OK (single sign-in OK)

Are there plans for this to change in the future or is this impossible with your software?

We are willing to pay for the modifications if they can be done. If there is no way to do it however we will have to find another solution to our needs.

This is not planned at short terms as this is something outside of JMS Multisites.

The HTTP Server only allow to share the sessions ID for a specific domain.

As the HTTP server does not allow to get the same session ID from different domain, that mean that something different must be managed outside the HTTP Server to share the sessions ID between domains.
As you could read on the web, such sessions ID cross-domain can be performed by a specific development that mays consists in adding the session ID in each URL of the pages or use cookies to store sessions information. Such development may present a risk in term of security as this may open a door for an exploit to try manage the session IDs.