Authenticate against a Azure VM Windows File Server which is Azure AD Domain Services joined from an Azure AD joined Device

Question

I did the following test Setup:

• 1 Azure Active Directory Domain Services - Standard SKU
• Windows Azure VM - domain joined to the Azure Active Directory Domain Services
• Configured an File Share on this Azure VM and added a AD Group with Share Full Control Permissions
• 1 Azure AD Joined Windows 10 Machine

Then I tried to open this File Share from the Azure AD Joined Windows 10 Machine. The User which I uses for login is in the permission group for the share.
What happens when I browser this File Share:

• A login prompt appears -> I'm able to login to the share with may Azure AD User on this Azure AD Joined Device but only if I login explicit. NO SSO to this Share
  
  Is this a default restriction from Azure AD Domain Services?
  This seem to work if a Windows Server is joined in a Self Managed Active Directory Domain. I'm able to open up a Windows File Share without the need to login again.