I know that this is an old thread as we are facing something similar (Mixing application data sessions in Weblogic Service Providers (SAML2)) I am trying to relaunch it.
Our scenario is the same as yours, we have different applications like app1.my.domain.com and app2.my.domain.com. In this case two different JSESSIONID cookies are being created, one per application.
We have followed Configuring Single Sign-On with Web Browsers and HTTP Clients - 12c Release 1 (12.1.1) that basically is the same as the one you are pointing out.
Are you still suffering the issue or have you found a solution/workaround?