Do users of multiple sites need to login to each

I have a multisite which now has a user who has been given administrator access to four sites, but they are not a superadmin.

That user can see all four sites under My Sites

But if they want to go to the dashboard of any one of the other sites they have to login again in each site.

I expected once they logged into one they would be logged into all four.

Is this right or have I configured something incorrectly?