Yes that should work, but the link should be structured something like this:
<a href="http://forum.yourdomain.com/session/sso?return_path=http://forum.yourdomain.com/t/my-latest-blog-post/78">Start the discussion</a>
The links I see on your site are just pointing directly at your forum. What theme are you using? I can look at this more later today.
Edit:
I tried using my browser’s dev tools to edit the link to your forum that is on this page: Open dialogues in the present and the future – new developments | Open Dialogue by changing it to:
<a class="button" target="_blank" href="http://forum.open-dialogue.net/session/sso?return_path=http://forum.open-dialogue.net/t/open-dialogues-in-the-present-and-the-future-new-developments-jaakko-seikkula/15">Start Discussion</a>
the sso login works as expected. The thing to do is to figure out why the link is being returned in the form that it is. I would expect the wp-discourse plugin to be returning it with a similar structure to the way I have edited it.