CentralAuth sets two sets of auth cookies (session, token, username etc), the normal MediaWiki cookies for the local domain and a set of "central cookies" on the second-level domain (e.g. wikipedia.org). Whenever the user visits a wiki where they don't have local auth cookies, the full set of cookies (local + central) get issued, regardless of what kind of request that happens to be, which makes it harder to reliably prevent auth cookies from getting mis-issued. It should be enough to issue local cookies; if those get sent to the wrong user, it won't be enough for a valid session (we already need to check the second-level cookies and invalidate the local session if the second-level one is invalid, since a central logout cannot directly terminate all local sessions), which reduces the chance of session leakage.
This is probably not straightforward: the SessionProvider interface has a single persist() method which is supposed to update all kinds of persisted data.