Steps to re-produce: Create some preferences in gnome or xfce, such as keyboard shortcuts, keyboard language or alt/win-key mappings, custom .bashrc or whatever. (KDE, others not tested) Set up a timed login in /etc/gdm/custom.conf. Now, arguably this is not the correct way to do this. This is also not in any way mission-critical or secure, just for testing, home user, playing around, etc.
Now reboot or log out and come back early by clicking the button. If you click the button and don't let it wait the full 15 seconds, 50% of the time your preferences will not load. Keyboard shortcuts won't work, pre-defined aliases won't work in Terminal. Auto-repeat characters don't work so holding down a key only outputs one letter. Other apps potentially affected: keyring?
Fix: Log out and let the timer expire, logging you back in. Now 90% of the time your shortcuts and stuff will work.
Addendum: This has nothing to do with auto-logon. The same thing happens if you type your password too fast and log in before 15 seconds or so expire at the GDM screen.
Workaround: Wait 15 seconds before logging in.
I realize GDM is in development. Suggestions on speeding up the preferences loading?