Currently as I understand you have gone into every zone within the dashboard then bookmarked that URI.
When clicking on the bookmark for example.com it then prompts you to authenticate. However, at this point you are then prompted to choose the zone or re-click the bookmark link to navigate to the specific dashboard zone.
This is by behavior we do not follow the initial link requested after we authenticate on our dashboard at this time. If you are authenticated then click on the bookmarks it will take you right to the zone in question.