Classifieds of course is not going to recognize the cookie of your forum if the domain names are different cookies work on one domain name. If you have correctly installed without the enhanced integration so classifieds uses its own stuff just the user login then you can login with the
vb login in classifieds login and it should work fine.
you really cant use enhanced integration on applications with different domain names since your forum cookie would read site1.com and your classifieds is expecting cookie from site2.com where it is installed.