Hi
If you are using Forms Based Authentication on your FE then this is the way it will behave.
However if you are not using FBA on your Servers then you can bypass this by setting the EnterpriseVault Virtual Directory to use basic Auth only and set all the 'Realms' on all the Virtual Directories (exchange, public, EnterpriseVault) to the same string.
Unfortunately this is down to the fact that OWA FBA uses a cookie for authentication purposes and EV cannot make use of the OWA cookie so then requires re-authentication by IIS when being redirected to the EV VD.
Cheers