It makes sense that the browser probably lacks whatever scripting capability is necessary to set a cookie or whatever these web-based login schemes require. It's obviously a pretty minimal app.
I don't know that the device even has the certificate support stack necessary to do that sort of authentication.
I identified another interesting limitation of the WiFi interface on the PRS-950: it is at least somewhat sensitive to interference from neighboring WiFi devices. I couldn't get it to connect to the (WPA AES PSK) AP last night until I moved my laptop off my lap and onto a nearby table.
Stuff I wish it had: a signal strength indication, some sort of status indicator (possibly including WiFi mode and connection speed, maybe even channel) in the WiFi config screen.
OTOH, I didn't anticipate it being as decent a browser as it is, either. I was reading light novels at Baka-Tsuki.org on Monday night and it was a completely acceptable experience - even the illustration tip-ins formatted correctly.
I think Sony needs to be careful to remind people that this is an ebook reader that just happens to have limited web browsing capability. It is not an iPad, and it is certainly not a netbook.
That said, the browser could be a lot more configurable. Does it stash cookies? Any sort of page caching? All this stuff is under the hood and invisible. I really don't like the idea of the thing retaining cookies (or supercookies) forever...