It doesn't look like there are any other settings to change, other than a few static links I had to node pages I created.
But if I'm on the forum home of the sub domain, and click the "Log Out" button, I get a xF "The requested page could not be found" error, although the session is killed. The log out link looks like this:
The same problem occurs when I try to log in from the forum home page, but the authentication works ok.
Logging in and logging out of the admin area appears to not be affected.
I rebuilt all the cache in the forums just in case, and cleared my browser cache, but is there something else to look at? Maybe a redirect problem after authentication or the session is killed? Everything else appears to work ok with xF on a subdomain.
CORRECTION: the problem only seems to happen on logging out of the forum home, I think logging in from the forum home works ok now.