Logout does not work when logging in through the root of the site.
A quick note about my setup: All blogs are on my.domain.com (yeah, that's not really the domain) and each blog is in a subdirectory of that. So my wp-config.php has:
define('VHOST', 'no');
$base = '/';
I did some hunting and found the wp_clearcookie function in wp-includes/pluggable.php as my first port of call. I do in fact see all 4 Set-cookie headers being sent, which would normally force the cookie to be erased:
Set-Cookie: wordpressuser=+; expires=Sat, 13-Aug-2005 18:42:19 GMT; path=/adam/; domain=.my.domain.com
Set-Cookie: wordpresspass=+; expires=Sat, 13-Aug-2005 18:42:19 GMT; path=/adam/; domain=.my.domain.com
Set-Cookie: wordpressuser=+; expires=Sat, 13-Aug-2005 18:42:19 GMT; path=/adam/; domain=.my.domain.com
Set-Cookie: wordpresspass=+; expires=Sat, 13-Aug-2005 18:42:19 GMT; path=/adam/; domain=.my.domain.com
So in the above example, the user's name is 'adam' and the blog path is 'adam'. I went to http://my.domain.com/ and logged in from there (i.e. I didn't log in from http://my.domain.com/adam/ in which case everything would have worked fine).
So in the example above, logout obviously does not work, since the cookie was originally created with path of '/' but wordpress is asking for the cookie belonging to the path /adam/ to be deleteted.
In the setcookie calls (from wp_clearcookie), SITECOOKIEPATH is derived from a regex against get_settings('siteurl') and the option_value 'siteurl' in the database (for the user 'adam') is 'http://my.domain.com/adam/'.
My guess is that the correct behavior is for wpmu to be more careful about setting the path of the cookies when they are originally set?