What you are seeing is normal. Once you tie the GL company to the Forecaster company, you will be prompted for both logins although you can just cancel out of the Forecaster portion of the login if you don't need to pull Forecaster data.
I should note that it is possible to hide the Forecaster portion of the login if you set up Forecaster with Windows Authentication. You then set the ODBC for the Forecaster company in FRx to Windows and that should bypass being prompted to enter credentials. Note that the login is still happening, you just aren't seeing it.