That is what it is intended for.  I think you need to update the contract in your cms website to be able to talk to the single sign on service in the commerce manager.  There should be a entry similar to this, if not you will need to add it in yoru cms site

<system.serviceModel>
    <bindings>
      <wsHttpBinding>
        <binding name="WSHttpBinding_SingleSignOn"
          closeTimeout="00:01:00" openTimeout="00:01:00" receiveTimeout="00:10:00" sendTimeout="00:01:00"
          bypassProxyOnLocal="false" transactionFlow="false" hostNameComparisonMode="StrongWildcard"
          maxBufferPoolSize="524288" maxReceivedMessageSize="65536"
          messageEncoding="Text" textEncoding="utf-8" useDefaultWebProxy="true" allowCookies="false">
          <readerQuotas maxDepth="32" maxStringContentLength="8192" maxArrayLength="16384" maxBytesPerRead="4096" maxNameTableCharCount="16384" />
          <reliableSession ordered="true" inactivityTimeout="00:10:00" enabled="false" />
          ** NOTE: Add Security Here
          <security mode="None">
            <message clientCredentialType="None" />
          </security>
        </binding>
      </wsHttpBinding>
    </bindings>
    <client>
      <endpoint address="http://SET TICKET SERVICE HOST HERE/SsoService.svc" binding="wsHttpBinding"
        bindingConfiguration="WSHttpBinding_SingleSignOn" contract="Mediachase.Commerce.Security.ISingleSignOn"
        name="WSHttpBinding_SingleSignOn" />
    </client>
  </system.serviceModel>  

    You will also need to create a website on iis to host the service.  When you install the commerce there should be a folder called Integration service in the shared folder.  The should be a SSOService.svc file in there.  Make sure all the config files of the project have the correct values as well.

Thanks again, Mark,

excellent answer :-)

Did you find any documentation about this or figure it by your own?
Neat feature but not that easy to use without a description like this. Do I have to use SsoSharedSecret (also in appsettings)?

The SsoSharedSecret should be the same in the cms website, integration service and commerce manager.  I did not find any documentation on this as of yet but we can put on the list to document.