Moving between the secure and non-secure areas of the site is normal behaviour - only certain areas of the site needing to be on https.
My knowledge has moved on since this thread first began, and basically the Force Cookie Use feature checks the http domain against the https domain and they must match. You can get around this by using (in your includes/configure.php file) the shared address for both http and https connections e.g.
http://servername.xssl.net/yourdomain.com and
https://servername.xssl.net/yourdomain.com (that's for a reseller account). For a non-reseller account substiture xssl.net with unitedhosting.co.uk
Vger