WP/bbPress session integration only works if the installs are on the same domain/subdomain. This is limitation of cookies, and a good thing. Not a wp/bb issue.
From the docs:
Integrating cookies allows your users to log in to either your WordPress blog or your bbPress forums and be effectively logged in to both. This feature requires your WordPress and bbPress installations to exist in the same domain name, or at least in sub-domains of the same domain name.