Well, you are correct, to a point...
However, SSO working does not mean than language settings will work. KBA 2201671 - SAP Lumira Download from SAP Business Warehouse ignores SSO is quite clear on that(?). I double checked with Program Management and they were able to confirm this.
With all due respect, it's kind of like saying; my Ferrari works great on a highway, but on a logging road it looses the suspension and oil pan on the first pot hole - 
(???)
- Ludek