I guess the cookie domain set in the cookie is not the same as the external domain the browser is seeing and hence the browser does not use the (proper) cookie. Perhaps you can adjust or modify the cookie domain?
The cookie domain is set by the login script of SME server server-manager. I don't think we should be asking end-users to modify that code.
I think cactus is right to think about the cookie domain as the likely issue. What external DNS name are you using, what is your proxypass target, and what is the domain configured on the target server? A mismatch somewhere along that path will cause the cookie to be ignored.
You should raise this issue in the bug tracker. There might be some simple change possible in the server-manager authentication system which will allow it to via a proxy pass.
Alternatively you might find some configuration on the server doing the proxying which will work. You want the FQDN at all three steps to match (external DNS, proxypass target and the domain configured on the target server). You might be able to do that via a custom entry in DNS or /etc/hosts on the server doing the proxying - it would need to resolve to the internal proxy target.