SSO requires the co-operation of the adapters to work and not all adapters support SSO.
Basically when a message is received the adapter will retrieve an SSO Ticket based on the user that submitted the message. This ticket is added to the message context (BTS.SSOTicket) and follows the message thru Biztalk. If you create a new message in an orchestration you will need to copy the BTS.SSOTicket context property.
When the message is sent the SSO ticket and Affiliate application name are used to retrieve the correct user/password from the SSODb.
So the receive adapter must support SSO e.g. SOAP or HTTP and the send adapter must support SSO e.g SOAP,HTTP, FTP