We have setup sharepoint to communicate with an ADFS 2.0 server that uses Azure ACS as a external identity provider. Users from within the domain can login into sharepoint with a sso like experience using their own personal gmail account. As this application is going to public to the internet we have placed UAG in front of sharepoint and ADFS servers. When a user attempts to login with a gmail account or live account he authenticates with UAG and is then kicked back from sharepoint to the external party selection screen again (Choose gmail or live account). Once he selects one again it works fine. The first time around the ULS logs show now claims were found. Second time they are there?
Looking at the ADFS debug logs it looks like after the user passes through UAG, and UAG redirects to sharepoint, ADFS is using UAG's realm/rely identifier.