I have come across this problem before, it doesn't generally get in the way too much but i would really like to know why it happens.
I am running SBS 2008, i changed the Bindings for the Sharepoint intranet so that instead of browing it via server-name:987 i can browse it on port 80 using the host header intranet.localdomain.local (for which an A record has been configured in DNS).
When client computers browse to intranet.localdomain.local it then asks them to authenitcate which they do with their windows credentials and ta da it works no problem. When i browse to intranet.localdomain.local on the SBS server it doesn't authenticate with windows credentials. It just doesn't work. If i browse to it using the original server-name:987 then it works fine.
Does anybody know why this is?