Multisite: Confusion for average users when a blog is a mapped domain and requires re-authentication

[henry.wright]

If domain mapping is active for a blog in a network install, users of that blog must re-authenticate when visiting that blog because the domain is likely to be different from the host install domain.

Mapped domains appear in the My Sites list. When a user visits their blogs in the list it is confusing for them to be asked to re-authenticate for blog A (mapped domain) and not be asked to re-authenticate for blog B (not a mapped domain).

An average user isn't familiar with the cookie authentication mechanism and would find it frustrating to authenticate multiple times which is, to the average user, seemingly unnecessary.

How do we make this process clear or easier?