Ha! I’ve found the problem (for my case, at least)!
It has nothing to do with cookies or wordpress 2.5, but with the sql connection in the api.
In smf_api_1.1.php, in line 166 we should change:
@mysql_connect($db_server, $db_user, $db_passwd)
to:
@mysql_connect($db_server, $db_user, $db_passwd, true)
This will prevent the SMF bridge from hogging the sql connection, thus allowing for wordpress to keep on running as usual