Found this explanation of Form-Cookie mode in the Bluecoat KB.
Form-Cookie: A form is presented to collect the user's credentials. The cookies are set on the OCS domain only, and the user is presented with the form for each new domain. This mode is most useful in reverse proxy scenarios where there are a limited number of domains.
Would this not suggest the behaviour you are seeing is as expected. Or have I misunderstood the explanation.
BES 5.0.3 MR4
Exchange 2010 (SP1 RU3)
SQL 2008 R2