I figured you wouldn't say: Of course - that's suppose to happen :-)
At first I tried disabling one thing at a time, sync roles, autologin IPs, hide login controls, default email and such. When I realized it suddenly worked, I tried enabling one thing at a time to see, what made the difference. I experienced it was the Hide login controls. My "test-procedure" is as follows:
1) Login as host
2) Hide or show login controls, and Update Settings
3) Logout
4) Clear all temp. files, cookies and such (Delete browser history in IE7)
5) Close Internet Explorer
6) Open Internet Explorer
7) Navigate to site
8) If no autologin: Repeat step 1-7.
By doing this I can verify that it is only with the login controls visible the autologin works as expected. Weird, huh?