First of all, update your JMS because several bugs fix several things including the single sign-in.
See procedure in the FAQ to get the latest version.
www.jms2win.com/faq#sec-122
When you go a website that you think it should share the login, then go in the Joomla / Help / System info / PHP Info and check if you have a value in your "session.cookie_domain".
It should contain the "common" domain name with a leading '.' dot.
If you have "no value", this probably mean that you don't have any "common" domain name.
I remember that Single Sign-In only works when using slaves on the same domain.
Example OK:
slave1.domain.com
slave2.domain.com
www.domain.com/slave3
=> session.cookie_domain = ".domain.com"
Example NOT OK (different domain name).
www.slave1.com
www.slave2.com
=> session.cookie_domain = "no value"
If you have a value and it does not works, you also have to check if the apache "suhosin" module is present.
In this case, this extension forbids to share the session between subdomains.