I am having this cross domain issue arise. I am fairly certain that the client is not always prompted to install Silverlight certs even with DynamicsGPTrustedApp.msi installed. Any guidance on installing the Silverlight certs by hand on the client to check if that will resolve it? Then figuring out why there is no request to install might be fruitful - or I might find it is not my issue.
I know installing DynamicsGPTrustedApp.msi on the client runs into a different Silverlight error [HttpWebRequest_WebException_RemoteServer] instead of [CrossDomainError] (just a wild try) when trying the Web Client in a browser; also, uninstalling it on the server computer does not affect using Web Client in a browser on the server (i.e., Web client still works).
I may just have to drop back and do a careful reinstall because I have tweaked a bunch of things along the way. But if you have a quick answer up your sleeve ...