Indeed, I see that you really have to provide session ID to create a new Call or Request from the link.
And personally I think it is not the most correct behaviour if you are using integrated authentication - the system should try to log you in on every portal form access if you are not logged in yet.
I suppose you can try to register an issue or create a feature request.
Of course I can be wrong. So any comments from VSM developers or representatives would be very welcome here.