Andrea,
I’m having a similar problem and am not running MU … and am too newbie to know if there’s an infrastructural difference.
I run WP 2.9.2 on one site and 3.1.3 on my own, personal site. I have /never/ been able to get password-protected posts to work correctly. Particularly, the site running 2.9.2 is for the orchestra that I play in, with posts that are supposed to be password-protected for musician, management, and board use only. All p-p posts appeared correctly with their login fields, but when users logged-in, they were always redirected to wp-login.php — or, in some cases, the dashboard! I had to abandon the password-protection, and now those pages are visible to anyone if they know where to look.
I just tried a p-p post on my own site (3.1.3), and I get the same result.
I’ve poured over the Forum for a year now, and just haven’t found the needle. You appear to be a genius! Any answers?