Xenscripts bridge requires someone to be logged into Xenforo and then it automatically logs you into Wordpress.
If you've logged out of Xenforo and then revisit the site on a Wordpress page first .... I don't think you automatically get logged into Wordpress or Xenforo.
Feel free to clarify this at xenscripts.com
Other options:
XF + WP + amember (I've never seen a site with it ... i think it's possible).
Get Jamie or lph to get dual login synchronization working for Xenscripts.
There has been talk about a Xenforo Single Sign On Addon.
Wait for XenSSO to support other applications [my request here]
Any clue what might happen to sign-on when I install your bridge? I am going to assume that XF takes-over the sign-on process, so that a user will be able to sign-on to WP using either their XF credentials or their LDAP credentials. Any thoughts?