The process you describe is actually by design. Partially this is for security, but also because users of Community are not necessarily always users of Client Portal. Because they are separate portals, unless you have already signed into Client Portal in the current browser session, it will force the log on to make sure you are a user who has permissions to ask a question, request a service, or whichever operation you were looking to perform.
Community is not connected to our Client Portal. It can't pass the credentials you used to log in to your instance of TeamDynamix on to OUR Client Portal which is on a different instance of the system. Does that make sense?
I hope this has helped clear up this question for you. If you have anything further please let me know.