I have my jenkins running on port 8001 (ie: http://builds:8001) using a prefix of "builds" (ie: http://builds:8001/builds).
I also have an Apache instance that is forwarding from port 80 to jenkins (ie: http://builds.mydomain.com/builds).
In the jenkins main config, I have the "Jenkins URL" in the system config set to the proper apache forwarded address (ie: http://builds.mydomain.com/builds), as is the JENKINS_URL.
If I use the keyboard shortcut to go to a job, instead of http://builds.mydomain.com/builds/job/<job>, it goes to http://builds:8001/builds/job/<job>, and as a result of the url change, I am no longer logged in, unless I manually change the host in the location bar from builds:8001 to builds.mydomain.com