Yes, being automatically logged in is a common requirement I would say. As far as I know, it's not possible to share credentials or sessions across different applications, so I would definitely use SSO. The exact implementation depends on which SSO module you use and if you can manage with a single IdP.
Also Mendix has implemented this themselves in sprintr / cloud / epics.
We use an OIDC module and changed the index.html file such that Mendix knows where to redirect to when not logged in.
The end result is that a user will be redirected several times, but it all happens within a second. Depending on the look-and-feel of the different apps, the experience can be similar as it was a single app.
Did you already implemented SSO? If not: I would recommend OIDC, and adapt your index.html like this to automatically redirect to the default configured IdP:
document.cookie = "originURI=/oauth/v2/login" + (window.location.protocol === "https:"?";SameSite=None;Secure":"");