If you can not replicate the issue with your account this would seem to be user problems maybe with cookie settings on there browser.
If you had any issue with the program you would be able to replicate the issue. I asked for a test login but since you did not post one I went ahead and created a username. I logged in through the forum and then went to classifieds and was logged in fine. I clicked through every page and was logged in continously.
If you users continue to see issue they need to document what they where doing, are they using multiple windows. etc etc
As far as setting the domain name to .domain.com phpBB can tell you what they want to but almost anyone who knows anything about cookie settings is going to tell you to set cookies to .domain.com if you want a site wide cookie. It is only just basic common sense.