you know, a bridge like this should not be that difficult..
Start at the login screen (wherever it is) and duplicate it's inputs
Do the same for the logout screen
unless the authentication portion of SMF is very poorly (not modularly written) with login/logout entry points all over the place with different mechanisms for login/logout so it is impossible to find them all, indeed with PHP being an interpreted language, you can build code on the fly and execute it and you would never know without methodically tracing through the bloody code.
What if we tried something else... maybe something with the .htaccess file so when the SMF not logged in error gets triggered we rewrite to a backdoor log in module (for either SMF/Joomla), that way we would not change code in either one?
... when I click on the SMF link, if I am not logged in, it will call it's error screen (which gets redirected by .htaccess to my special PHP which explicitly checks the Joomla login status and if ok, does the log in to SMF and continues on to the page?
I would suggest that for testing you maintain an unwrapped/unmodded plain SMF install as well. No software is bug free and if the bug is in SMF we cry at the bridge in vain!

with a standalone SMF we can at least verify some behaviours for consistency, no?
I notice that the SMF at Joomla.org does not keep me logged in forever either (even if I say please)

Hey! What if...We have SMF completly installed, unmodded...
We clone our users from Mambo/Joomla into SMF (which we can do -or can we? I remember hearing that the password encryption in SMF is different than the MD5 in joomla?)
well assuming they can, we just have our users maintain two logins and keep SMF allways logged in (or mostly allways)
That would give us the seamless interaction we seek?