This is the URL I logged into: http://codex.simple-press.com/.....-login.php

Shows me as a "Member" at the right sidebar.

I click on the top link, "Support Forum" and I must log-in again.

Is there a reason the two log-ins are separated?

They are completely separate websites. I do know there are some possible workarounds for this - although none of them that perfect and possibly none of them able to work properly with WishList member - so at the moment that is just the way it is.