As a long time user of the site, and someone who figured out the site in a kinder, gentler less confusing age, it feels like this is a aggregation of a few problems
SE is frictionless for new users. You don't really need a login, until your cookies get messed up (or eaten) or you switch PCs. You don't need a logon but it helps ensure your questions are all on the same account.
Having a bunch of login options is confusing for a new user. While the magical universal login would be nice, everyone wants to run their own, and having multiple option saves us when google or facebook decides they want out of the SSO game.
Unfortunately the solution is up to the user and involves a slight understanding of how SE does logins.
Unregistered accounts are a bit lame But hey, you're on meta. You ought to register on a site. Its as simple as clicking on sign up and picking whether to have a SE account, or better yet, google/facebook
pick one site to act as your home site. I do SU, obviously, though for a period I had SR as my main site on chat. This is just so you know where you have accounts. Basically if you know you have a login on one site, you can check if you're logged into it, and do the whole "join this site" and "automagically login to sites you have an account on" things. If I'm logged into superuser, I'm logged in everywhere else I have an account (and that's a lot of sites. I occasionally create accounts to flag spam.)
Use an SSO option unless you're paranoid. Use a google login or facebook login. Or both maybe. If you don't want google or facebook knowing you use these sites, then get a stackexchange login, but that's one more password. I have google and SE logins setup, and you can use more than one. IMO a stack exchange login is a fallback. I use google and rarely have to sign back on. And as a moderator, being able to use two factor authentication is useful too.
Always make sure you're logged in And since SU is one of my default tabs, that's simple.
Associate don't create new accounts. And once this is done, these sites should be logged into. If you're logged in, its automatic. This is where having you have a site you know you have an account is handy.