We haven't have any problems with this for admin login and inlinemod auth logins. Could you provide a little more information like:
Does this occur in all browsers or just a particular one?
Do all domains share the same file system?
Are the config.php cookie settings the same for all 4 domains?
What about your settings for the "Cookies and HTTP Header Options" group?
-- Does the cookie path exist for all domains?
-- Is your cookie domain blank?
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