Hi, SamWalker.
You are right.
When you enable SLO or other features that require a persistent session stored in the session store, you need to ensure 2 things.
1. AuthenticationURL is set to persistent realm (This handles the use case where the user has no session yet)
2. A Persistent realm where the federation links are presented. (This handles the use case where the user already has a session)
Your problem is the use case #2 above.
Those federation related entries in the session store requires the user sessionid entry available as a parent so the child entries can be created.
And because the user did not navigate to any persistent realm yet, there is no sessionid record in the session store.
For that reason the SLO or any other federation related records cannot be created and fail.
On the web page that displays the links to the federated sites, make sure that resource is set as persistent realm.
An enhancement request would be the way to go.